bayesianOU (version 0.1.3)

zscore_train: Z-score standardization using training period statistics

Description

Standardizes a matrix using mean and standard deviation computed from the training period only.

Usage

zscore_train(M, T_train, eps = 1e-08)

Value

A list with components:

Mz

Standardized matrix of same dimensions as M

mu

Vector of training means for each column

sd

Vector of training standard deviations for each column

Arguments

M

Numeric matrix of dimensions T x S (time by sectors)

T_train

Integer. Number of observations in training period

eps

Numeric. Minimum standard deviation threshold to avoid division by zero. Default is 1e-8.

Examples

M <- matrix(rnorm(100), nrow = 20, ncol = 5)
result <- zscore_train(M, T_train = 14)
str(result)