rnnStream function

Setup the Input and Output for a Recurrent Neural Network

R command to setup the input and output for a Recurrent Neural Network. It is used in the Wiley book Statistical Learning with Big Dependent Data

by Daniel Peña and Ruey S. Tsay (2021).

rnnStream(z, h = 25, nfore = 200)

Arguments

• z: Input in integer values.
• h: Number of lags used as input.
• nfore: Data points in the testing subsample.

Returns

A list containing:

• Xfit - Predictor in training sample (binary).
• Yfit - Dependent variable in the training sample (binary).
• yp - Dependent variable in testing sample.
• Xp - Predictor in the testing sample (binary).
• X - Predictor in the training sample.
• yfit - Dependent variable in the training sample.
• newX - Predictor in the testing sample.

Examples

output <- rnnStream(rnorm(100), h=5, nfore=20)