backtest: Backtest

In NTS: Nonlinear Time Series Analysis

Backtest

Description

Backtest for an ARIMA time series model.

Usage

backtest(m1, rt, orig, h, xre = NULL, fixed = NULL, include.mean = TRUE)

Arguments

m1	an ARIMA time series model object.
rt	the time series.
orig	forecast origin.
h	forecast horizon.
xre	the independent variables.
fixed	parameter constraint.
include.mean	a logical value for constant term of the model. Default is TRUE.

Value

The function returns a list with following components:

orig	the starting forecast origin.
err	observed value minus fitted value.
rmse	RMSE of out-of-sample forecasts.
mabso	mean absolute error of out-of-sample forecasts.
bias	bias of out-of-sample forecasts.

Examples

data=arima.sim(n=100,list(ar=c(0.5,0.3)))
model=arima(data,order=c(2,0,0))
backtest(model,data,orig=70,h=1)

NTS documentation built on Sept. 25, 2023, 1:08 a.m.