Comments (2)
Dear Uriah,
Thank you for your use and analysis of rEDM.
Having looked at your examples, it appears you have identified a bug where the value of E
is not properly handled. Thank you!
I have found and corrected the problem. The fix is uploaded to github as version 1.7.5.
Regarding parameters E
and D
:
E
defines the dimension of the time-delay embedding for the state-space of each variable. Since the first dimension is the variable itself, there are E-1 additional dimensions added by successive time delays.
D
defines the dimension of the multiviews. If not set, it defaults to the number of columns
. For example, if D = 2, columns = "x_t y_t z_t"
, then the constructed views have D = 2 variables, selected from the 3*E available.
Also, please note that there is no guarantee that all lags will be present in the selected views. That is, with E = 3, which embeds each columns
vector into a 3-dimensional state-space (the addition of 2 lags) does not mean that one will see X(t-2) in the top views.
Your first example has 2-dimensional views, since the number of columns is 2 and D is not specified:
Multiview( dataFrame = block_3sp, lib = "1 99", pred = "105 190",
E = 3, columns = "x_t y_t", target = "x_t" )
Your second example has 3-D views for the same reason:
Multiview( dataFrame = block_3sp, lib = "1 99", pred = "105 190",
E = 3, columns = "x_t y_t z_t", target = "x_t" )
The third example, you set E = 3
with 4 columns
:
Multiview( dataFrame = block_3sp, lib = "1 99", pred = "105 190",
E = 3, columns = "x_t y_t z_t y_t-1", target = "x_t" )
With D not specified, D = 4
, but, it appears that E = 3
for the time-delay embeddings is not being honored... the bug you have identified, which has been addressed in version 1.7.5.
Your other question:
Why is the maximum lag set to E-1? I would like the possibility of constructing a model in which each view is e.g. of size 2 and the maximum lag is 3. That is, I would like to have the possibility of choosing the dimension of the views and the maximum lag separately. Is that possible?
Yes, that is (now) possible. An example:
> Multiview( dataFrame = block_3sp, lib = "1 99", pred = "105 190", D = 2, E = 4, columns = "x_t y_t z_t", target = "x_t", excludeTarget = FALSE ) $ View
Multiview() Set view sample size to 8
col_1 col_2 name_1 name_2 rho MAE RMSE
1 1 2 x_t(t-0) x_t(t-1) 0.9338 0.2323 0.2991
2 1 9 x_t(t-0) z_t(t-0) 0.8866 0.2716 0.3748
3 1 11 x_t(t-0) z_t(t-2) 0.8946 0.2833 0.3638
4 1 4 x_t(t-0) x_t(t-3) 0.9137 0.2520 0.3272
5 1 8 x_t(t-0) y_t(t-3) 0.8671 0.3126 0.4042
6 1 3 x_t(t-0) x_t(t-2) 0.9241 0.2463 0.3137
7 1 7 x_t(t-0) y_t(t-2) 0.8692 0.3212 0.3991
8 1 10 x_t(t-0) z_t(t-1) 0.9082 0.2770 0.3444
Thank you again for your diligence and analysis of rEDM!
JP
from redm.
Hi Joseph,
Thanks for the fast and thorough reply and that you already fixed it! This will really help me 👍
Best
Uriah
from redm.
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