series_to_mvgam {mvgam}

This function converts univariate or multivariate time series (xts or ts objects) to the format necessary for mvgam

Description

This function converts univariate or multivariate time series (xts or ts objects) to the format necessary for mvgam

Usage

series_to_mvgam(series, freq, train_prop = 0.85)

Arguments

series

xts or ts object to be converted to mvgam format

freq

integer. The seasonal frequency of the series

train_prop

numeric stating the proportion of data to use for training. Should be between 0.25 and 0.95

Value

A list object containing outputs needed for mvgam, including 'data_train' and 'data_test'

Examples

# A ts object example
data("sunspots")
series <- cbind(sunspots, sunspots)
colnames(series) <- c('blood', 'bone')
head(series)
series_to_mvgam(series, frequency(series), 0.85)

# An xts object example
library(xts)
dates <- seq(as.Date("2001-05-01"), length=30, by="quarter")
data  <- cbind(c(gas = rpois(30, cumprod(1+rnorm(30, mean = 0.01, sd = 0.001)))),
c(oil = rpois(30, cumprod(1+rnorm(30, mean = 0.01, sd = 0.001)))))
series <- xts(x = data, order.by = dates)
colnames(series) <- c('gas', 'oil')
head(series)
series_to_mvgam(series, freq = 4, train_prop = 0.85)