DLdata function

Create an input data matrix for a Deep learning program that uses time series data.

R command to setup the training and forecasting data for deep learning.

DLdata(x, forerate = 0.2, locY = 1, lag = 1)

Arguments

• x: T by k data matrix: T data points in rows and k time series in columns.
• forerate: Fraction of sample size to form the forecasting (or testing) sample.
• locY: Locator for the dependent variable.
• lag: Number of lags to be used to form predictors.

Returns

A list containing:

• Xtrain - Standardized predictors matrix.
• Ytrain - Dependent variable in training sample.
• Xtest - Predictor in testing sample, standardized according to X_train.
• Ytest - Dependent variable in the testing sample.
• nfore - Number of forecasts.

Examples

x <- matrix(rnorm(7000), nrow=700, ncol=100)
m1 <- DLdata(x, forerate=c(200/nrow(x)), lag=6, locY=6)