build_lasso: Build LASSO model forecast

In yForecasting/leadingindicators: Find relevant leading indicators for time series forecasting

Description

Model building flow around the traditional LASSO model.

Usage

build_lasso(y, x, h=12, lambda=1, seed=1010, nfolds=10, type.measure="mae")

Arguments

y	Target series to forecast as data frame or matrix.
x	Explanatory variable set to choose and select from, as data frama or matrix. Each column represent an individual variable.
h	horizons to forecast
lambda	lambda to select for internal optimisation
seed	seed to use for internal optimisation
nfolds	nfold to use for internal optimisation
type.measure	type of measure to use for internal optimisation

Value

This function returns a list with model details specified.

Author(s)

Yves R. Sagaert, [e-mail]

Examples

# build_lasso(y,x,h=1:12)

yForecasting/leadingindicators documentation built on Dec. 12, 2021, 3:09 p.m.