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greybox (version 0.3.0)

greybox: Grey box

Description

Toolbox for working with multivariate models for purposes of analysis and forecasting

Arguments

Details

Package: greybox
Type: Package
Date: 2018-02-13 - Inf
License: GPL-2

The following functions are included in the package:

  • AICc and BICc - AIC / BIC corrected for the sample size.

  • determination - Coefficients of determination between different exogenous variables.

  • stepwise - Stepwise based on information criteria and partial correlations. Efficient and fast.

  • xregExpander - Function that expands the provided data into the data with lags and leads.

  • lmCombine - Function combines lm models from the estimated based on information criteria weights.

  • ro - Rolling origin evaluation.

  • qlaplace, dlaplace, plaplace, rlaplace - Laplace distribution and the respective functions.

  • qs, ds, ps, rs - S distribution and the respective functions.

See Also

stepwise, lmCombine

Examples

Run this code
# NOT RUN {
# }
# NOT RUN {
xreg <- cbind(rnorm(100,10,3),rnorm(100,50,5))
xreg <- cbind(100+0.5*xreg[,1]-0.75*xreg[,2]+rnorm(100,0,3),xreg,rnorm(100,300,10))
colnames(xreg) <- c("y","x1","x2","Noise")

stepwise(xreg)
# }
# NOT RUN {
# }

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