mdvec {GammaTest}R Documentation

Converting Multiple Time Series into Input/Output Datasets

Description

Converts multiple time series into an input/output format, where the output is in the last column and the input time series are in the other columns. This is required to run a gamma test analysis on multiple time series.

Usage

mdvec(data, lag)

Arguments

data A data.frame where the last column is the output and the other columns are input time series. It is recommended that the names of the variables in the data.frame are meaningful. For example, if one of the input time series is the FTSE then use FTSE and not X as a variable names.
lag The maximum lag with which to create the inputs FOR EACH TIME SERIES.

Value

d The input/output dataset.

Author(s)

Samuel E. Kemp. To report any bugs or suggestions please email: sekemp@glam.ac.uk

References

For papers and Gamma test related material visit http://users.cs.cf.ac.uk:81/Antonia.J.Jones/GammaArchive/IndexPage.htm

See Also

gammatest fesearch

Examples

# One input time series example
X <- arima.sim(500, model=list(ar=0.7, ma=0.6), sd=sqrt(1))
Y <- NULL
Noise <- rnorm(500, sd=sqrt(1))
for(i in 2 : 500){
Y[i] <- 0.6*X[i-1] + Noise[i]}
input.output <- data.frame(X=X[2:500],Y=Y[2:500])
multi.io     <- mdvec(input.output, lag=10)

# Three input time series example
X <- arima.sim(500, model=list(ar=0.7, ma=0.6), sd=sqrt(1))
R <- arima.sim(500, model=list(ar=0.7), sd=sqrt(1))
Q <- arima.sim(500, model=list(ma=0.6), sd=sqrt(1))
Y <- NULL
Noise <- rnorm(500, sd=sqrt(1))
for(i in 3 : 500){
Y[i] <- (0.6*X[i-1] + 0.7*R[i-2] + 0.8*Q[i-1]) + Noise[i]}
input.output <- data.frame(X=X[3:495],R=R[3:495],Q=Q[3:495],Y=Y[3:495])
multi.io     <- mdvec(input.output, lag=3)

[Package GammaTest version 1.1 Index]