dataExample: A simulated dataset

In sufficientForecasting: Sufficient Forecasting using Factor Models

A simulated dataset

Description

This is a simulated dataset consisting of predictors, responses, and additional predictors to make forecasting at a future time. In this example, the dimension of predictors is p=100, and the number of observed time periods is T=100.

Usage

dataExample

Format

• dataExample$X simulated predictors; a p by T matrix

• dataExample$y simulated responses; a T by 1 vector

• dataExample$newX simulated new predictors for forecasting; a p by 1 vector

sufficientForecasting documentation built on March 7, 2023, 6:13 p.m.