随机森林 - 出了点问题;所有 RMSE 指标值都缺失

问题描述 投票:0回答:0

我想将随机森林技术应用于我的时间序列数据。首先,我只是想加入一堆回归变量,并想为我的模型生成最佳数量的树。 然而,即使在仅包含 250 个观察值和 4 个变量(而不是总共 3500 个和 30 个变量)的可重现示例中,我也会收到相同的错误消息。我已经仔细检查了数据框中的缺失值。我对随机森林还是比较陌生,所以任何建议都将不胜感激。

这里是我的示例代码和复制品。示例(这很长,我知道,但除此之外我几乎不需要观察来运行模型):

yy <- structure(list(date = structure(c(13864, 13865, 13866, 13867, 
13868, 13871, 13872, 13873, 13874, 13875, 13878, 13879, 13880, 
13881, 13882, 13885, 13886, 13887, 13888, 13889, 13892, 13893, 
13894, 13895, 13896, 13899, 13900, 13901, 13902, 13903), class = "Date"), 
    cds_it_3y = c(1.25, 1.25, 0.25, 0, 3, 0, 0, 0, 0, 0, 0, 0, 
    0, 0.25, 3, 0, 0.5, 1.75, 2, 0.25, -1, -0.25, 0.25, 0, 0, 
    0, 3.75, 0.5, -1.5, 2), cds_de_3y = c(0, 0, 0, 0, 0, 0, 0, 
    0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 1.625, 0, 0, 0, 0.125, 0, 0, 
    0, 0, 0.5, -0.75, -0.75, 0), cds_it_3y_usd = c(1.25, 1.25, 
    0.25, 0, 3, 0, 0, 0, 0, 0, 0, 0, 0, 0.25, 3, 0, 0.5, 1.75, 
    2, 0.25, -1, -0.25, 0.25, 0, 0, 0, 3.75, 0.5, -1.5, 2), cds_de_3y_usd = c(0, 
    0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 1.625, 0, 
    0, 0, 0.125, 0, 0, 0, 0, 0.5, -0.75, -0.75, 0), cds_it_5y = c(1.25, 
    1.25, 0.25, 0, 3, 0, 0, 0, 0, 0, 0, 0, 0, 0.25, 3, 0, 0.5, 
    2.5, 3, 2.25, 0, -0.25, 0.25, 0, 0, 0, 5.25, 0.5, -2, 0.75
    ), cds_de_5y = c(0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 
    0, 0, 0, 1.625, 0.35, 0, 0, 0, 0, 0, 0, 0, 0.5, -0.75, -0.75, 
    0), cds_it_5y_usd = c(1.25, 1.25, 0.25, 0, 3, 0, 0, 0, 0, 
    0, 0, 0, 0, 0.25, 3, 0, 0.5, 2.5, 3, 2.25, 0, -0.25, 0.25, 
    0, 0, 0, 5.25, 0.5, -2, 0.75), cds_de_5y_usd = c(0, 0, 0, 
    0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 1.625, 0.35, 0, 
    0, 0, 0, 0, 0, 0, 0.5, -0.75, -0.75, 0), us_gov_3y = c(-0.0640000000000001, 
    -0.0640000000000001, -0.052, -0.0760000000000001, 0.123, 
    0.0340000000000003, -0.00099999999999989, 0.0829999999999997, 
    -0.0789999999999997, -0.133, -0.0420000000000003, 0.00300000000000011, 
    -0.199, -0.04, -0.093, 0.028, -0.0150000000000001, -0.077, 
    0.0549999999999997, -0.102, -0.0129999999999999, -0.0580000000000003, 
    -0.0259999999999998, -0.0640000000000001, -0.073, -0.00199999999999978, 
    -0.275, -0.0749999999999997, 0.239, 0.032), us_gov_5y = c(-0.012, 
    -0.012, -0.0760000000000001, 0.0270000000000001, 0.114, 0.0590000000000002, 
    0, 0.0800000000000001, -0.0979999999999999, -0.122, -0.00999999999999979, 
    0, -0.205, -0.0249999999999999, -0.0720000000000001, -0.0300000000000002, 
    -0.0749999999999997, 0.0549999999999997, 0.0220000000000002, 
    -0.117, 0.0110000000000001, -0.102, 0.0600000000000001, -0.131, 
    -0.032, 0, -0.283, 0.184, 0.156, -0.142), us_gov_10y = c(-0.0540000000000003, 
    -0.0540000000000003, -0.0679999999999996, -0.00999999999999979, 
    0.129, 0.0449999999999999, 0, 0.0670000000000002, -0.0810000000000004, 
    -0.114, -0.0549999999999997, 0, -0.128, -0.00499999999999989, 
    -0.0339999999999998, -0.0270000000000001, -0.024, -0.00800000000000001, 
    0.0819999999999999, -0.0880000000000001, -0.0169999999999999, 
    -0.0920000000000001, 0.036, -0.0920000000000001, 0, 0, -0.177, 
    0.0529999999999999, 0.163, -0.106), us_stock_index = c(0.227000000000004, 
    0.227000000000004, -0.370000000000005, 0.431000000000012, 
    2.46899999999999, 1.328, 0.325999999999993, 0.77000000000001, 
    -0.225999999999999, 0.387, -0.635000000000019, 0.0330000000000155, 
    -0.72399999999999, -0.0790000000000077, -3.03700000000001, 
    -0.957999999999998, -0.501000000000005, 0.0930000000000177, 
    0.144999999999982, -1.58799999999999, 1.28800000000001, -3.69800000000001, 
    -3.30799999999999, -1.90200000000002, -1.06899999999999, 
    -5.90700000000001, -1.58599999999998, 1.20299999999997, 4.126, 
    0.596000000000004), vix = c(-1.88, -1.88, -0.960000000000001, 
    -1.1, -2.11, 0.130000000000003, 0, 0.0599999999999987, 1.6, 
    0.479999999999997, 1.76, 0, 0.670000000000002, -0.680000000000003, 
    1.45, -0.150000000000002, 1.64, -1.31, -0.670000000000002, 
    0.23, -0.780000000000001, 0.440000000000001, 1.04, 4.08, 
    -1.28, 0, 3.83, -1.99, -1.24, 1.3), `s&p500` = c(9.07999999999993, 
    9.07999999999993, -1.98000000000002, 7.11999999999989, 24.3400000000001, 
    11.99, 0, 1.21000000000004, -21.2900000000002, 2.12000000000012, 
    -10.1400000000001, 0, -21.1899999999998, 0, -35.53, 4.54999999999995, 
    -25.99, 18.9400000000001, 11.1999999999998, -19.3099999999999, 
    15.23, -35.3, -7.75, -39.95, -8.05999999999995, 0, -14.6900000000001, 
    28.0999999999999, 13.47, -21.47), ois_usd_3y = c(-0.0220000000000002, 
    -0.0220000000000002, -0.111, -0.00900000000000034, 0.135, 
    0.036, 0, 0.0659999999999998, -0.0939999999999999, -0.121, 
    -0.0630000000000002, 0, -0.155, -0.052, -0.109, -0.0190000000000001, 
    -0.0539999999999998, 0.0489999999999999, -0.0409999999999999, 
    -0.145, -0.0140000000000002, -0.081, 0.0800000000000001, 
    -0.137, -0.016, -0.116, -0.24, 0.191, 0.208, -0.142), ois_usd_5y = c(-0.0350000000000001, 
    -0.0350000000000001, -0.113999999999999, -0.00200000000000022, 
    0.151, 0.0490000000000004, 0, 0.0729999999999995, -0.0889999999999995, 
    -0.134, -0.0700000000000003, 0, -0.153, -0.0299999999999998, 
    -0.0960000000000001, -0.0299999999999998, -0.0540000000000003, 
    0.0470000000000002, -0.0110000000000001, -0.125, -0.0110000000000001, 
    -0.093, 0.085, -0.134, -0.00099999999999989, -0.081, -0.22, 
    0.193, 0.204, -0.159), ois_ez_3y = c(-0.0409999999999995, 
    -0.0409999999999995, 0.0119999999999996, 0.00499999999999989, 
    0.0300000000000002, -0.0259999999999998, 0.024, 0, 0.016, 
    0.00699999999999967, 0, 0, -0.208, 0.02, -0.0209999999999999, 
    -0.00800000000000001, 0.0329999999999995, -0.0699999999999998, 
    -0.0139999999999998, -0.028, -0.0720000000000001, -0.012, 
    -0.101, -0.0350000000000001, -0.00699999999999967, -0.093, 
    0.0269999999999997, -0.0979999999999999, 0.207, -0.0129999999999999
    ), ois_ez_5y = c(-0.0170000000000003, -0.0170000000000003, 
    -0.00899999999999945, -0.024, 0.0430000000000001, 0.0149999999999997, 
    0, 0, 0.0409999999999995, -0.0309999999999997, 0, 0, -0.149999999999999, 
    -0.00400000000000045, -0.0430000000000001, -0.000999999999999446, 
    0.0249999999999995, -0.0529999999999999, -0.00699999999999967, 
    -0.0300000000000002, -0.052, -0.0409999999999999, -0.0350000000000001, 
    -0.0289999999999999, -0.00800000000000001, -0.103, 0.0539999999999998, 
    -0.115, 0.153, -0.00599999999999978), usd_eur = c(0.00249999999999995, 
    0.00249999999999995, -0.00150000000000006, -0.00429999999999997, 
    0.00269999999999992, 0.00320000000000009, 0, 0.00990000000000002, 
    0.00659999999999994, 0.0136000000000001, -0.00839999999999996, 
    0, 0.0105, -0.000299999999999967, 0.00519999999999987, -0.00570000000000004, 
    -0.000299999999999967, -0.00459999999999994, 0.00669999999999993, 
    0.00560000000000005, 0.00890000000000013, -0.00270000000000015, 
    -0.0169999999999999, 0.000499999999999945, -0.00639999999999996, 
    -0.0145500000000001, 0.01355, -0.00579999999999981, 0.0155999999999998, 
    -0.00150000000000006), euro_stoxx_50 = c(-3.33200000000033, 
    -3.33200000000033, -7.79699999999957, 13.3589999999995, 69.848, 
    3.83200000000033, 0, 0, 16.2300000000005, 0.0279999999993379, 
    -4.91799999999967, 0, -60.4920000000002, -5.8090000000002, 
    -62.8909999999996, 12.8400000000001, 11.8599999999997, -36.9110000000001, 
    -20.6989999999996, -12.308, 11.3710000000001, -95.7420000000002, 
    -32.598, -42.5799999999999, -70.5900000000001, -292.12, 50.6299999999997, 
    -175.69, 231.08, -32.0100000000002), italy_equity_index = c(1.59999999999854, 
    1.59999999999854, -255.279999999999, -126.129999999997, 315.150000000001, 
    0, 0, 0, 161.089999999997, 211.07, 0, 0, -518.339999999997, 
    27.5800000000017, -612.620000000003, 150.440000000002, -29.4000000000015, 
    -250.290000000001, -28.2799999999988, 71.4000000000015, 183.199999999997, 
    -865.610000000001, -49.6999999999971, -394.410000000003, 
    -484.379999999997, -1850.33, 399.059999999998, -1361.59, 
    1297.09, -40.9499999999971), italy_3y = c(-0.0209999999999999, 
    -0.0209999999999999, -0.0369999999999999, -0.00600000000000023, 
    0.0369999999999999, -0.00100000000000033, 0, 0, 0.0410000000000004, 
    -0.0330000000000004, -0.0109999999999992, 0, -0.163, -0.0129999999999999, 
    -0.0500000000000007, 0.0200000000000005, 0.0250000000000004, 
    -0.0820000000000003, 0.00800000000000001, -0.0300000000000002, 
    -0.0469999999999997, -0.0310000000000001, -0.106, -0.0470000000000002, 
    -0.00099999999999989, -0.103, 0.0720000000000001, -0.171, 
    0.248, -0.0329999999999999), italy_5y = c(-0.0209999999999999, 
    -0.0209999999999999, -0.0140000000000002, -0.0259999999999998, 
    0.04, 0, 0, 0, 0.069, -0.069, 0.00600000000000023, 0, -0.17, 
    0.04, -0.0780000000000003, 0.0229999999999997, 0.0210000000000008, 
    -0.0490000000000004, 0.0110000000000001, -0.0380000000000003, 
    -0.0590000000000002, -0.0169999999999995, -0.0760000000000001, 
    -0.0420000000000003, -0.00499999999999989, -0.0760000000000001, 
    0.073, -0.128, 0.186, -0.0190000000000001), breakeven_infl = c(0, 
    0, -0.0299999999999998, 0, 0, 0, 0, 0, -0.02, -0.02, 0, 0, 
    -0.0100000000000002, -0.00999999999999979, -0.00999999999999979, 
    -0.0100000000000002, -0.00999999999999979, -0.0100000000000002, 
    -0.00999999999999979, -0.02, 0, 0.02, -0.02, 0.00999999999999979, 
    -0.02, -0.04, -0.13, 0.0899999999999999, -0.02, 0.0500000000000003
    ), inv_grade_ez = c(0, 0, -0.0100000000000002, 0, -0.00999999999999979, 
    0, 0, 0, 0, -0.02, 0, 0, -0.00999999999999979, 0, -0.0100000000000002, 
    0, -0.02, 0, -0.00999999999999979, -0.0100000000000002, 0.0100000000000002, 
    0.00999999999999979, 0, -0.00999999999999979, -0.02, -0.02, 
    -0.14, 0.0899999999999999, -0.02, 0.0600000000000001), cds_at_3y = c(0.0126000000000062, 
    0.0126000000000062, 0.00769999999999982, 0.145499999999998, 
    -0.203000000000003, 0, 0, 0, -0.111099999999993, 0.151199999999989, 
    0.00920000000000698, 0, 0.543599999999998, 0.117500000000007, 
    0.244699999999995, -0.0357999999999947, -0.222500000000011, 
    0.2072, -0.120999999999995, -0.0275000000000034, 0.0883000000000038, 
    0.162199999999999, 0.184300000000007, -0.0313000000000017, 
    0.00419999999999732, 0.0715000000000003, -0.484300000000005, 
    0.499300000000005, -0.563000000000002, 0.119399999999999), 
    cds_at_3y_usd = c(1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 
    1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1), cds_at_5y = c(0, 
    0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 
    0, 0, 0, 0, 0, 0, 0, 0, 0, 0), cds_at_5y_usd = c(1, 1, 1, 
    1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 
    1, 1, 1, 1, 1, 1, 1, 1), austria_3y = c(0, 0, 0, 0, 0, 0, 
    0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 
    0, 0, 0, 0, 0), austria_5y = c(-0.00200000000000067, -0.00200000000000067, 
    -0.0299999999999994, 0, 0.0229999999999997, 0, 0, 0, 0.0529999999999999, 
    -0.0369999999999999, 0, 0, -0.135, -0.0580000000000003, -0.028, 
    0.0130000000000003, 0.0449999999999999, -0.0600000000000001, 
    0.016, -0.00499999999999989, -0.0580000000000003, -0.04, 
    -0.0779999999999998, -0.0329999999999999, -0.0340000000000003, 
    -0.103, 0.0259999999999998, -0.124, 0.2, -0.00499999999999989
    ), at_equity_index = c(-0.00100000000000033, -0.00100000000000033, 
    -0.0229999999999997, -0.0129999999999999, 0.0259999999999998, 
    0, 0, 0, 0.0579999999999998, -0.0410000000000004, 0, 0, -0.143999999999999, 
    -0.056, -0.0510000000000002, -0.00100000000000033, 0.0260000000000002, 
    -0.0220000000000002, 0.016, -0.00800000000000001, -0.0569999999999999, 
    -0.0339999999999998, -0.0630000000000002, -0.00999999999999979, 
    -0.0290000000000004, -0.0629999999999997, 0.0569999999999999, 
    -0.093, 0.156, -0.004), cds_spread_5y = c(0, 0, 0, 0, 0, 
    0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 
    0, 0, 0, 0, 0, 0), cds_spread_3y = c(0, 0, 0, 0, 0, 0, 0, 
    0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 
    0, 0, 0, 0), cds_spread_3y_2 = c(0, 0, 0, 0, 0, 0, 0, 0, 
    0, 0, 0, 0, 0, 0.25, 3, 0, 0.5, 0.125, 2, 0.25, -1, -0.375, 
    0.25, 0, 0, 0, 3.25, 1.25, -0.75, 2), cds_spread_5y_2 = c(0, 
    0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0.25, 3, 0, 0.5, 0.875, 
    2.65, 2.25, 0, -0.25, 0.25, 0, 0, 0, 4.75, 1.25, -1.25, 0.75
    ), sp500_daily = c(0.0213950943873957, 0.0213950943873957, 
    -0.007621960008942, 0.0062500097717324, 0.0116442061004216, 
    -0.00848787893564573, -0.00804456670013831, 0.000808253581779717, 
    -0.0151257713522908, 0.0157524421755646, -0.00831689968739369, 
    0.00688197528234014, -0.0145363062563222, 0.0145363062563222, 
    -0.0248579500644865, 0.0280759908285884, -0.0217407181520404, 
    0.0320547416166859, -0.00561531792628234, -0.0216054425119809, 
    0.024500686799132, -0.0360528558260613, 0.0196129797142115, 
    -0.0238963265805916, 0.0234604869885953, 0.00606372511423015, 
    -0.0111471016030205, 0.0323626495061013, -0.0112030881590712, 
    -0.0260192428467745), garch_vol_us = c(-0.279824347319976, 
    -0.279824347319976, -0.279824347319976, -0.279824347319976, 
    -0.279824347319976, -0.279824347319976, -0.279824347319976, 
    -0.279824347319976, -0.279824347319976, -0.279824347319976, 
    -0.279824347319976, -0.279824347319976, -0.279824347319976, 
    -0.279824347319976, -0.279824347319976, -0.279824347319976, 
    -0.279824347319976, -0.279824347319976, -0.279824347319976, 
    -0.279824347319976, -0.279824347319976, 0.264213655991539, 
    -0.0479619544903345, 0.236717359135973, -0.169752742412615, 
    -0.075780107045805, -0.0103382016809479, 0.289386722699071, 
    -0.0211379526024205, 0.0211994254243782), vol_premium = c(-0.500175652680024, 
    -0.500175652680024, -0.500175652680024, -0.500175652680024, 
    -0.500175652680024, -0.500175652680024, -0.500175652680024, 
    -0.500175652680024, -0.500175652680024, -0.500175652680024, 
    -0.500175652680024, -0.500175652680024, -0.500175652680024, 
    -0.500175652680024, -0.500175652680024, -0.500175652680024, 
    -0.500175652680024, -0.500175652680024, -0.500175652680024, 
    -0.500175652680024, -0.500175652680024, 0.175786344008461, 
    1.08796195449034, 3.84328264086403, -1.11024725758739, 0.0757801070458051, 
    3.84033820168095, -2.27938672269907, -1.21886204739758, 1.27880057457562
    ), us_corp_bbb = c(-0.0700000000000003, -0.0700000000000003, 
    -0.0499999999999998, -0.04, 0.13, 0.04, -0.0800000000000001, 
    -0.0800000000000001, -0.0800000000000001, -0.100000000000001, 
    -0.0299999999999994, 0.0200000000000005, 0.0200000000000005, 
    0.0200000000000005, -0.0300000000000002, 0.0200000000000005, 
    0.0299999999999994, 0.0100000000000007, 0.0499999999999998, 
    -0.13, 0, -0.0700000000000003, 0.0199999999999996, -0.04, 
    0.0100000000000007, 0, -0.0899999999999999, -0.0200000000000005, 
    0.2, -0.0700000000000003), us_corp_aaa_7_10 = c(-0.0699999999999994, 
    -0.0699999999999994, -0.0499999999999998, -0.04, 0.14, 0.04, 
    -0.0899999999999999, -0.0899999999999999, -0.0899999999999999, 
    -0.11, -0.0599999999999996, 0.0200000000000005, 0.0200000000000005, 
    0.0200000000000005, -0.0300000000000002, 0, 0.00999999999999979, 
    -0.00999999999999979, 0.12, -0.0700000000000003, -0.0199999999999996, 
    -0.0700000000000003, 0.0200000000000005, -0.04, 0.00999999999999979, 
    0, -0.100000000000001, -0.0499999999999998, 0.19, -0.0700000000000003
    ), us_inv_grade = c(-8.88178419700125e-16, -8.88178419700125e-16, 
    0, 0, -0.00999999999999979, 0, 0.00999999999999979, 0.00999999999999979, 
    0.00999999999999979, 0.00999999999999979, 0.0300000000000002, 
    0, 0, 0, 0, 0.0200000000000005, 0.0199999999999996, 0.0200000000000005, 
    -0.0700000000000003, -0.0599999999999996, 0.0199999999999996, 
    0, -8.88178419700125e-16, 0, 8.88178419700125e-16, 0, 0.0100000000000007, 
    0.0299999999999994, 0.00999999999999979, 0), eur_vs_usd_ois = c(0.0179999999999998, 
    0.0179999999999998, 0.105, -0.0219999999999998, -0.108, -0.0340000000000007, 
    0, -0.0729999999999995, 0.129999999999999, 0.103, 0.0700000000000003, 
    0, 0.00300000000000056, 0.0259999999999994, 0.0529999999999999, 
    0.0290000000000004, 0.0789999999999997, -0.1, 0.00400000000000045, 
    0.0949999999999998, -0.0409999999999999, 0.052, -0.12, 0.105, 
    -0.00700000000000012, -0.0219999999999998, 0.274, -0.308, 
    -0.0510000000000002, 0.153), eurstoxx50_daily = c(0.0158258131381395, 
    0.0158258131381395, -0.00103810810953142, 0.0049120133662619, 
    0.0129577849418059, -0.0151851514742685, -0.000873596846412639, 
    0, 0.00369158207234399, -0.00368522511512026, -0.00112353134487897, 
    0.00111717438765524, -0.0138444535988249, 0.0125048390132587, 
    -0.0132797536497691, 0.0176215119709866, -0.000237120106799438, 
    -0.0113956528588357, 0.00375793521157952, 0.00196400530303009, 
    0.00559623814242194, -0.0255451608611779, 0.0149543331890953, 
    -0.0025150883381464, -0.00709618930665279, -0.058414771208728, 
    0.0895092148156369, -0.0615153896147937, 0.110519376527071, 
    -0.0710230102562086), garch_vol_euro = c(-0.294616666874625, 
    -0.294616666874625, -0.294616666874625, -0.294616666874625, 
    -0.294616666874625, -0.294616666874625, -0.294616666874625, 
    -0.294616666874625, -0.294616666874625, -0.294616666874625, 
    -0.294616666874625, -0.294616666874625, -0.294616666874625, 
    -0.294616666874625, -0.294616666874625, -0.294616666874625, 
    -0.294616666874625, -0.294616666874625, -0.294616666874625, 
    -0.294616666874625, -0.294616666874625, -0.445362572238944, 
    -0.381503017863905, -0.0588210095512909, 0.491528700077504, 
    5.64590410372961, -4.39164947398632, 0.256378768685801, 0.643222343815089, 
    -0.261586463390807), cds_spread_5y_de = c(0, 0, 0, 0, 0, 
    0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 
    0, 0, 0, 0, 0, 0), cds_market_5y = c(0, 0, 0, 0, 0, 0, 0, 
    0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 
    0, 0, 0, 0), cds_market_5y_2 = c(0, 0, 0, 0, 0, 0, 0, 0, 
    0, 0, 0, 0, 0, 0.25, 3, 0, 0.5, 0.875, 2.65, 2.25, 0, -0.25, 
    0.25, 0, 0, 0, 4.75, 1.25, -1.25, 0.75), italy_sov_spread = c(-0.00399999999999956, 
    -0.00399999999999956, -0.00500000000000078, -0.00199999999999978, 
    -0.00300000000000011, -0.0149999999999997, 0, 0, 0.0280000000000005, 
    -0.0380000000000003, 0.00600000000000023, 0, -0.0200000000000005, 
    0.0440000000000005, -0.0350000000000001, 0.0239999999999991, 
    -0.00399999999999867, 0.00399999999999956, 0.0179999999999998, 
    -0.00800000000000001, -0.00700000000000012, 0.0240000000000005, 
    -0.0409999999999999, -0.0130000000000003, 0.00300000000000011, 
    0.0269999999999997, 0.0190000000000001, -0.0129999999999995, 
    0.0329999999999999, -0.0130000000000003)), row.names = c(NA, 
30L), class = "data.frame")

这里是之后的步骤

# Random Forest 
library(randomForest)
library(caret)

# Define range of values to test for the number of trees
n_trees <- seq(from = 50, to = 500, by = 50)

# Perform cross-validation to find optimal number of trees
ctrl <- trainControl(method = "cv", number = 5)
rf_grid <- expand.grid(mtry = 2:5)

rf_model <- train(cds_spread_5y ~ us_gov_5y + us_stock_index +
                    vol_premium, data = yy, method = "rf", ntree = n_trees, tuneGrid = rf_grid, trControl = ctrl)
r machine-learning time-series random-forest
© www.soinside.com 2019 - 2024. All rights reserved.