data.prepare: Data preparation

In yymmhaha/PackPaper1: Package related to my first paper

Description

Prepares data according to the specified parameters.

Usage

data.prepare(datatype, parameters.of.X, parameters.of.Y,
  parameter.of.estimation, horizon, intercept)

Arguments

datatype	a string. Indicates the data structure, whether the series are correlated or not. Choose from 'simple', 'block1', 'block2'. Periodic series to be implemented.
parameters.of.X	a list.
parameters.of.Y	a list.
parameter.of.estimation	a list.
horizon	a number. Forecast horizon, we use 7 in the example
intercept	a vector. Length is 10 for now, and 0 by default.

Details

(include the details for the parameters)

Value

a list of components

X	a matrix. Original covariate matrix, each column is one series. Note that it's both training and test period: hence the length is nsize + horizon
X.for.fcst	a matrix. Training period of covariate matrix, length is nsize
Xtr	a matrix. Shifted training X given required time lags, 5 lags in our example: hence 10*5 columns
Ytr	a matrix. Shifted response matrix, used for residual fitting
Ytr.single	a vector. Response in training period
Xind	X index (?)
yind	Y index (?)
Xte	a matrix. Shifted test X, 10*5 columns
Yte.single	a vector. Test response
Yte	a matrix. Test shifted response matrix

Examples

# later

yymmhaha/PackPaper1 documentation built on May 24, 2019, 8:55 a.m.