selectHyperParms {tsDyn}R Documentation

Automatic selection of model hyper-parameters

Description

Automatic selection of model hyper-parameters

Usage

selectLSTAR(x, m, d=1, steps=d, mL = 1:m, mH = 1:m, thDelay=0:(m-1))
selectNNET(x, m, d=1, steps=d, size=1:(m+1), maxit=1e3)

Arguments

x time series
m, d, steps embedding parameters. For their meanings, see help about nlar
mL,mH Vector of ‘low’ and ‘high’ regimes autoregressive orders
thDelay Vector of ‘threshold delay’ values
size Vector of numbers of hidden units in the nnet model
maxit Max. number of iterations for each model estimation

Details

Functions for automatic selection of LSTAR and NNET models hyper parameters. An exhaustive search over all possible combinations of values of specified hyper-parameters is performed. Embedding parameters m,d,steps are kept fixed.

Selection criterion is the usual AIC.

Value

A data-frame, with columns giving hyper-parameter values and the computed AIC for each row (only the best 10s are returned)

Author(s)

Antonio, Fabio Di Narzo

Examples

llynx <- log10(lynx)
selectLSTAR(llynx, m=2)
selectNNET(llynx, m=3, size=1:5)

[Package tsDyn version 0.6-1 Index]