data_reduction

data.frame: data frame of target variable, exogenous variables, and observed date (named 'date')

Data

string: vector of variables to standardize, default is all but 'date' column

variables

ncomp

boolean: normalize variables (mean zero, variance one) before estimating factors

standardize

A function to estimate principal components.

A comprehensive and cohesive API for the out-of-sample forecasting workflow:
data preparation, forecasting - including both traditional econometric time series models and
modern machine learning techniques - forecast combination, model and error analysis, and
forecast visualization.

data_reduction: Dimension reduction via principal components

Description

Usage

Arguments

Value