xregTransformer function

Exogenous variables transformer

Function transforms each variable in the provided matrix or vector, producing non-linear values, depending on the selected pool of functions.

xregTransformer(xreg, functions = c("log", "exp", "inv", "sqrt", "square"),
  silent = TRUE)

Arguments

• xreg: Vector / matrix / data.frame, containing variables that need to be expanded. In case of vector / matrix it is recommended to provide ts object, so the frequency of the data is taken into account.
• functions: Vector of names for functions used.
• silent: If silent=FALSE, then the progress is printed out. Otherwise the function won't print anything in the console.

Returns

ts matrix with the transformed and the original variables is returned.

Details

This function could be useful when you want to automatically select the necessary transformations of the variables. This can be used together with xregDo="select" in es , ces , gum and ssarima . However, this might be dangerous, as it might lead to the overfitting the data. So be reasonable when you produce the transformed variables.

Examples

# Create matrix of two variables and expand it
x <- cbind(rnorm(100,100,1),rnorm(100,50,3))
xregTransformer(x)

See Also

es, stepwise, xregExpander

Author(s)

Ivan Svetunkov, ivan@svetunkov.com