create_Y: Create Prediction Matrix

In dpweix/mlmcusum: Detects Changes in Covariance for Multivariate TS

Create Prediction Matrix

Description

A helper function to create a prediction matrix for use when training the machine learning models. Requires choosing the number of lags so that the prediction and design matrices line up.

Usage

create_Y(data, lags)

Arguments

data	A dataframe or matrix of observations.
lags	The number of lags of each variable, the first row of this matrix will be row lag + 1 of the data.

Value

A prediction matrix which can be used for training/testing the machine learning MCUSUM methods.

dpweix/mlmcusum documentation built on July 31, 2023, 10:13 a.m.