lfo.test {RTisean}R Documentation

Local linear ansatz

Description

Estimates the average one step prediction error of for a local linear ansatz fit.

Usage

lfo.test(series, l, x = 0, c=1, m = c(1,2), d = 1, n, k = 30, r, f = 1.2, s = 1, C)

Arguments

series a vector or a matrix.
l number of data to use.
x number of lines to be ignored.
c column to be read.
m embedding dimension.
d delay for the embedding.
n number of points for which the error should be calculated.
k minimal numbers of neighbors for the fit.
r neighborhood size to start with.
f factor to increase the neighborhood size if not enough neighbors were found.
s steps to be forecasted.
C width of causality window.

Value

A scalar corresponding to the relative forecast error, namely the forecast error devided by the standard deviation of the data.

Examples

## Not run: 

library(tseriesChaos)
dat <- rossler.ts
errors <- NULL
for(i in 1:100)
        errors[i] <- lfo.test(dat,s=i)

plot(errors,t="l",xlab="Forecasted steps", ylab="Relative error",main="Relative forecast error for a local linear fit")  

## End(Not run)

[Package RTisean version 3.0.10 Index]