The ARX companion object provides factory methods for the ARX class.
Attributes
Members list
Value members
Concrete methods
Create an ARX object by building an input matrix xy and then calling the ARX constructor.
Create an ARX object by building an input matrix xy and then calling the ARX constructor.
Value parameters
- bakcast
-
whether a backcasted value is prepended to the time series (defaults to false)
- fEndo
-
the array of functions used to transform endogenous variables
- fExo
-
the array of functions used to transform exogenous variables
- fname_
-
the feature/variable names
- hh
-
the maximum forecasting horizon (h = 1 to hh)
- hparam
-
the hyper-parameters
- tRng
-
the time range, if relevant (time index may suffice)
- xe
-
the matrix of exogenous variable values
- y
-
the response vector (time series data)
Attributes
Build the input matrix by combining the p + spec columns for the trend and endogenous variable with the q * xe.dim2 columns for the exogenous variables.
Build the input matrix by combining the p + spec columns for the trend and endogenous variable with the q * xe.dim2 columns for the exogenous variables.
Value parameters
- bakcast
-
whether a backcasted value is prepended to the time series (defaults to false)
- hp_
-
the hyper-parameters
- xe
-
the matrix of exogenous variable values
- y
-
the response vector (time series data)
Attributes
Form an array of names for the features included in the model.
Form an array of names for the features included in the model.
Value parameters
- hp_
-
the hyper-parameters
- n_exo
-
the number of exogenous variable
- n_fEn
-
the number of functions used to map endogenous variables
- n_fEx
-
the number of functions used to map exogenous variables
Attributes
Create an ARX object by building an input matrix xy and then calling the ARX constructor. Also rescale the input data.
Create an ARX object by building an input matrix xy and then calling the ARX constructor. Also rescale the input data.
Value parameters
- bakcast
-
whether a backcasted value is prepended to the time series (defaults to false)
- fEndo
-
the array of functions used to transform endogenous variables
- fExo
-
the array of functions used to transform exogenous variables
- hh
-
the maximum forecasting horizon (h = 1 to hh)
- hparam
-
the hyper-parameters
- tForm
-
the z-transform (rescale to standard normal)
- tRng
-
the time range, if relevant (time index may suffice)
- xe
-
the matrix of exogenous variable values
- y
-
the endogenous/response vector (main time series data)