Multiview() chooses the maximum lag based on the number of predictor columns used, regardless of E. about redm

[SoftwareLiteracy]

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

[duriah]

Hi Joseph,
Thanks for the fast and thorough reply and that you already fixed it! This will really help me 👍

Best
Uriah