I think you first should read and understand this: https://stackoverflow.com/help/minimal-reproducible-example and https://stackoverflow.com/help/how-to-ask
On Sun, Oct 18, 2020, 11:57 Faheem Jan via R-help <r-help@r-project.org> wrote: > Good morning, Please help me to code this code in R. > I working in the multivariate time series data, know my objective is that > to one year forecast of the hourly time series data, using first five as a > training set and the remaining one year as validation. For this I > transform the the data into functional data through Fourier basis > functional, apply functional principle components as dimensional reduction > explaining a specific amount of variation , using the corresponding > functional principle components scores. I use the VAR model on those > FPCscores for forecasting one day ahead forecast, know my problem is that i > choose four Fpc scores which give only four value in a single day, I want > the forecast for 24 hours not only 4, and then i want to transform it back > to the original functional data. for the understanding i am sharing my code > (1) transform of the multivariate time series data in functional data(2) > the functional principle components and the corresponding scores(3) I use > functional final prediction error for the selection of the parameters on > the VAR model(4) Using VAR for the analysis and forecasting .(1) nb = 23 # > number of basis functions for the data fbf = > create.fourier.basis(rangeval=c(0,1), nbasis=nb) # basis for data > args=seq(0,1,length=24) fdata1=Data2fd(args,y=t(mat),fbf) # functions > generated from discretized y(2) ffpe = fFPE(fdata1, Pmax=10) d.hat = > ffpe[1] #order of the model p.hat = ffpe[2] #lag of the model > (3) n = ncol(fdata1$coef) D = nrow(fdata1$coef) #center the data mu = > mean.fd(fdata1) data = center.fd(fdata1) #fPCA fpca = > pca.fd(data,nharm=D) scores = fpca$scores[,1:d.hat](4) # to avoid warnings > from vars predict function below colnames(scores) <- > as.character(seq(1:d.hat)) VAR.pre= predict(VAR(scores, p.hat), > n.ahead=1, type="const")$fcst > after this I need help first how to transform this into original > Functional data and to obtain the for for each 24 hours (mean one day > forecast) and to how to generalize the result for one year. > > > [[alternative HTML version deleted]] > > ______________________________________________ > R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide > http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > [[alternative HTML version deleted]] ______________________________________________ R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
