sVARMApred: Prediction of a fitted multiplicative seasonal VARMA model

sVARMApredR Documentation

Prediction of a fitted multiplicative seasonal VARMA model

Description

Perform prediction of a seasonal VARMA model

Usage

sVARMApred(model,orig,h=1)

Arguments

model

An output of the sVARMA command

orig

The forecast origin.

h

The forecast horizon. For a given h, it computes 1-step to h-step ahead forecasts. Default is 1.

Details

Perform prediction of a fitted sVARMA model

Value

data

The original data matrix

pred

Forecasts

se.err

Standard errors of forecasts

orig

Return the forecast origin

Author(s)

Ruey S. Tsay

References

Tsay (2014, chapter 6). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.


MTS documentation built on April 11, 2022, 5:07 p.m.