tsBlocks

Construct blocks of original and lagged values for autoregressive time
series models with exogenous inputs. The typical use case is to supply the
output as <code>newdata</code> argument to the
<code>predict</code> method of robust groupwise least
angle regression models.

Robust methods for high-dimensional data, in particular linear
model selection techniques based on least angle regression and sparse
regression. Specifically, the package implements robust least angle
regression (Khan, Van Aelst & Zamar, 2007; <doi:10.1198/016214507000000950>),
(robust) groupwise least angle regression (Alfons, Croux & Gelper, 2016;
<doi:10.1016/j.csda.2015.02.007>), and sparse least trimmed squares
regression (Alfons, Croux & Gelper, 2013; <doi:10.1214/12-AOAS575>).

Andreas Alfons

robustHD

Robust Methods for High-Dimensional Data

Dirk Eddelbuettel

tsBlocks function

<dl><dt>x</dt>
<dd>a numeric matrix or data frame containing the exogenous predictor
series.</dd>
<dt>y</dt>
<dd>a numeric vector containing the response series.</dd>
<dt>p</dt>
<dd>an integer giving the number of lags to include (defaults to 2).</dd>
<dt>subset</dt>
<dd>a logical or integer vector defining a subset of observations
from which to construct the matrix of predictor blocks.</dd>
<dt>intercept</dt>
<dd>a logical indicating whether a column of ones should be
added to the matrix of predictor blocks to account for the intercept.</dd></dl>

Arguments

Author

Construct predictor blocks for time series models — tsBlocks

<dl>

<dt>x</dt>
<dd>a numeric matrix or data frame containing the exogenous predictor
series.</dd>


<dt>y</dt>
<dd>a numeric vector containing the response series.</dd>


<dt>p</dt>
<dd>an integer giving the number of lags to include (defaults to 2).</dd>


<dt>subset</dt>
<dd>a logical or integer vector defining a subset of observations
from which to construct the matrix of predictor blocks.</dd>


<dt>intercept</dt>
<dd>a logical indicating whether a column of ones should be
added to the matrix of predictor blocks to account for the intercept.</dd>

</dl>

tsBlocks: Construct predictor blocks for time series models

Description

Usage

Value

Arguments

Author

See Also