NTS (version 1.1.3)

NNsetting: Setting Up The Predictor Matrix in A Neural Network for Time Series Data

Description

The function sets up the predictor matrix in a neural network for time series data.

Usage

NNsetting(zt, locY = 1, nfore = 0, lags = c(1:5), include.lagY = TRUE)

Value

The function returns a list with following components.

X

x-matrix for training a neural network.

y

y-output for training a neural network.

predX

x-matrix for the prediction subsample.

predY

y-output for the prediction subsample.

Arguments

zt

data matrix, including the dependent variable Y(t).

locY

location of the dependent variable (column number).

nfore

number of out-of-sample prediction (1-step ahead).

lags

a vector containing the lagged variables used to form the x-matrix.

include.lagY

indicator for including lagged Y(t) in the predictor matrix.

References

Tsay, R. and Chen, R. (2018). Nonlinear Time Series Analysis. John Wiley & Sons, New Jersey.