mTAR.pred: Prediction of A Fitted Multivariate TAR Model

In NTS: Nonlinear Time Series Analysis

Prediction of A Fitted Multivariate TAR Model

Description

Prediction of a fitted multivariate TAR model.

Usage

mTAR.pred(model, orig, h = 1, iterations = 3000, ci = 0.95, output = TRUE)

Arguments

model	multivariate TAR model.
orig	forecast origin.
h	forecast horizon.
iterations	number of iterations.
ci	confidence level.
output	a logical value for output.

Value

mTAR.pred returns a list with components:

model	the multivariate TAR model.
pred	prediction.
Ysim	fitted y.

Examples

phi1=matrix(c(0.5,0.7,0.3,0.2),2,2)
phi2=matrix(c(0.4,0.6,0.5,-0.5),2,2)
sigma1=matrix(c(1,0,0,1),2,2)
sigma2=matrix(c(1,0,0,1),2,2)
c1=c(0,0)
c2=c(0,0)
delay=c(1,1)
y=mTAR.sim(100,0,phi1,phi2,sigma1,sigma2,c1,c2,delay,ini=500)
est=mTAR.est(y$series,c(1,1),0,delay)
pred=mTAR.pred(est,100,1,300,0.90,TRUE)

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