check_xreg

check_newxreg

Used internally by other packages, these functions provides some commonly
used validation checks on regressor matrices in both in and out of sample.

A suite of auxiliary functions that enhance time series estimation and forecasting, including a robust anomaly detection routine based on Chen and Liu (1993) <doi:10.2307/2290724> (imported and wrapped from the 'tsoutliers' package), utilities for managing calendar and time conversions, performance metrics to assess both point forecasts and distributional predictions, advanced simulation by allowing the generation of time series components—such as trend, seasonal, ARMA, irregular, and anomalies—in a modular fashion based on the innovations form of the state space model and a number of transformation methods including Box-Cox, Logit, 'Softplus-Logit' and Sigmoid.

Alexios Ghalanos

tsaux

Time Series Forecasting Auxiliary Functions

Alexios Galanos

check_xreg function

<dl><dt>xreg</dt>
<dd>an xts matrix of named regressors.</dd>
<dt>valid_index</dt>
<dd>a vector of dates against which the xreg matrix index is
compared for validity.</dd>
<dt>newdata</dt>
<dd>an xts matrix of out of named sample regressors.</dd>
<dt>xreg_names</dt>
<dd>names of regressors used in sample.</dd>
<dt>h</dt>
<dd>the forecast horizon</dd>
<dt>forc_dates</dt>
<dd>an optional vector of forecast dates. This is used if
newdata is not an xts matrix in which case it formats the data into such
using the forc_dates vector.</dd></dl>

Arguments

Checks on regressor matrix. — check_xreg

<dl>

<dt>xreg</dt>
<dd>an xts matrix of named regressors.</dd>


<dt>valid_index</dt>
<dd>a vector of dates against which the xreg matrix index is
compared for validity.</dd>


<dt>newdata</dt>
<dd>an xts matrix of out of named sample regressors.</dd>


<dt>xreg_names</dt>
<dd>names of regressors used in sample.</dd>


<dt>h</dt>
<dd>the forecast horizon</dd>


<dt>forc_dates</dt>
<dd>an optional vector of forecast dates. This is used if
newdata is not an xts matrix in which case it formats the data into such
using the forc_dates vector.</dd>

</dl>

check_xreg: Checks on regressor matrix.

Description

Usage

Value

Arguments