greybox (version 0.3.3)

greybox: Grey box

Description

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

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.

• pointLik - point likelihood of the function.

• pAIC, pAICc, pBIC, pBICc - point versions of respective information criteria.

• determination - Coefficients of determination between different exogenous variables.

• alm - Advanced Linear Model - regression, estimated using likelihood with specified distribution (e.g. Laplace or Chi-Squared).

• 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.

• lmDynamic - Dynamic regression based on point AIC.

• ro - Rolling origin evaluation.

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

• qfnorm, dfnorm, pfnorm, rfnorm - Folded normal distribution and the respective functions.

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

See Also

stepwise, lmCombine

Examples

# 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 {
# }