predict.FitFGN: Forecasts from a fitted FGN model

In FGN: Fractional Gaussian Noise and power law decay time series model fitting

Description

The exact finite-sample minimum mean square error forecasts are computed using the Trench algorithm.

Usage

## S3 method for class 'FitFGN'
predict(object, n.ahead = 1, ...)

Arguments

object	"FitFGN" object produced by FitFGN
n.ahead	forecasts are done for lead times 1,...,n.ahead
...	optional arguments, are ignored

Value

A list with components

Forecasts	matrix with m+1 rows and maxLead columns with the forecasts
SDForecasts	matrix with m+1 rows and maxLead columns with the sd of the forecasts

Author(s)

A.I. McLeod

References

McLeod, A.I., Yu, Hao, Krougly, Zinovi L. (2007). Algorithms for Linear Time Series Analysis, Journal of Statistical Software.

See Also

FitFGN, TrenchForecast PredictionVariance predict.Arima

Examples

data(NileMin)
out<-FitFGN(NileMin)
predict(out, n.ahead=15)

FGN documentation built on May 30, 2017, 7:19 a.m.