mBTS {AnomalyScore} | R Documentation |
modified Back-in-time Selection for vector AR parameters estimation
Description
modified Back-in-time Selection for vector AR parameters estimation
Usage
mBTS(xM, responseindex, pmax)
Arguments
xM |
the matrix of K time series (variables in columns) |
responseindex |
the index of the response variable in |
pmax |
maximum order(lag) of the VAR model to be considered |
Value
the matrix of all explanatory lagged variables in the DR model. The sequence of the lagged variables in 'lagM'
See Also
I. Vlachos and D. Kugiumtzis, "Backward-in-time selection of the order of dynamic regression prediction model," J. Forecast., vol. 32, pp. 685-701, 2013.
[Package AnomalyScore version 0.1 Index]