Fits Vector Autoregressive model on LP transformed time series data
Accepts possibly non-Gaussian non-linear univariate (stationary) time series data; converts it to multivariate LP-transformed series and fits a vector autoregressive (VAR) model.
LPTime(z, exo = NULL, m = 3, p = 10)
z |
Endogenous time series to be included in the VAR model. |
exo |
Exogenous time series to be included in the VAR model. |
m |
The number of required LP-transformations. |
p |
Lag-order of autoregression. |
LPTime algorithm models univariate stationary nonlinear process X(t) via linear modelling of the multivariate time series:
\mbox{Vec}(X)(t) = [\mbox{T}_{1}[X](t),…, \mbox{T}_{m}[X](t)]^{T},
where each of the time series components \mbox{T}_{j}[X](t) are polynomials of rank transformed X(t).
It fits vector autoregressive model of the form
\mbox{ Vec(T}[X])(t) = ∑_{k=1}^{p} A(k ; p)\, \mbox{Vec(T}[X])(t-k) \;+\; ε(t).
where ε(t) is multivariate mean zero Gaussian white noise with covariance Σ_{p}.
A matrix of the estimated autoregressive coefficients obtained from LP-VAR model.
Shinjini Nandi
Mukhopadhyay, S. and Parzen, E. (2013). Nonlinear time series modeling by LPTime, nonparametric empirical learning. arXiv:1308.0642.
library(LPTime) data(EyeTrack.sample) head( LPTime(EyeTrack.sample, m = 2, p = 2))
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