dimensionalityIncrease: dimensionalityIncrease

In jdestefani/ExtendedDFML: Extended Dynamic Factor Machine Learner

Description

Function implementing the dimensionality increase module in the DFML architecture. The function implements a batch dimensionality increase.

Usage

dimensionalityIncrease(
  Z_hat,
  family = DIMENSIONALITY_METHODS,
  model = NULL,
  Z = NULL,
  params = NULL
)

Arguments

Z_hat	h x k matrix containing the h-step ahead forecast for the k input series - Numeric
family	Family of methods to use - String among those defined in DIMENSIONALITY_METHODS
model	An (optional) pre-existing model. If NULL it will be computed by the function.
Z	n x k matrix contaning the k factor generated by the dimensionality reduction module - Numeric
params	Additional parameters to be passed to the forecaster function - List

Value

List containing:

• X_hat: h x N matrix containing the h-step ahead forecast for the N original series

• time_dim: Computational time (in s) required to run the dimensionality increase - numeric scalar

Examples

#See tests/testthat directory on https://github.com/jdestefani/ExtendedDFML

jdestefani/ExtendedDFML documentation built on Dec. 20, 2021, 10:04 p.m.