selectHyperParms {tsDyn} | R Documentation |
Automatic selection of model hyper-parameters
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)
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 |
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.
A data-frame, with columns giving hyper-parameter values and the computed AIC for each row (only the best 10s are returned)
Antonio, Fabio Di Narzo
llynx <- log10(lynx) selectLSTAR(llynx, m=2) selectNNET(llynx, m=3, size=1:5)