create_DF_Fit_Predict: Create the Fit & Predict Data Frame

In gu-stat/gears: GEARS Method for Univariate and Multivariate Time Series Forecasting

Description

This function creates a data frame with training data and test data for the estimation stage.

Usage

create_DF_Fit_Predict(
  DATA,
  forecast.horizon,
  size.rs,
  number.rs,
  y.name = NULL,
  y.max.lags = NULL,
  x.names = NULL,
  x.max.lags = NULL,
  x.fixed.names = NULL,
  x.fixed.lags = NULL,
  x.interaction.names = NULL,
  x.interaction.lags = NULL,
  last.obs = NULL
)

Arguments

DATA	A data frame or a univariate time series.
forecast.horizon	Number of periods for forecasting.
size.rs	Number of observations in the rolling sample.
number.rs	Number of rolling samples.
y.name	The name of the Y (left-hand side) variable. If NULL (default), the function creates a temporary name.
y.max.lags	A numeric value that gives the maximum number of lags of the Y (left-hand side) variable (see Details). Can be NULL (default) if the past values of the Y variable are not included in the model.
x.names	List with names of the X (right-hand side) variables that have a maximum number of lags (see Details). Can be NULL (default) if univariate model or if your model does not have variables of this type.
x.max.lags	List of numeric values that give the maximum number of lags of the X (right-hand side) variables. Can be NULL (default).
x.fixed.names	List with names of the X (right-hand side) variables that have a fixed number of lags (see Details). Can be NULL (default) if univariate model or if your model does not have variables of this type.
x.fixed.lags	List of numeric values that give the fixed number of lags of the variables in x.fixed.names. Can be NULL (default).
x.interaction.names	List of character vectors with names of the variables to be included as interaction terms (see Details). Can be NULL (default) if your model does not have interaction terms.
x.interaction.lags	List of numeric vectors with lags of the variables to be included as interaction terms. List and numeric vectors should have the same length as the ones in x.interaction.names. Can be NULL (default) if your model does not have interaction terms.
last.obs	Index number of the last observation to be considered.

Value

A data frame.

gu-stat/gears documentation built on Oct. 20, 2021, 2:53 a.m.