uTAR.pred: Prediction of A Fitted Univariate TAR Model

In NTS: Nonlinear Time Series Analysis

Prediction of A Fitted Univariate TAR Model

Description

Prediction of a fitted univariate TAR model.

Usage

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

Arguments

model	univariate TAR model.
orig	forecast origin.
h	forecast horizon.
iterations	number of iterations.
ci	confidence level.
output	a logical value for output, default is TRUE.

Value

uTAR.pred returns a list with components:

model	univariate TAR model.
pred	prediction.
Ysim	fitted y.

Examples

phi=t(matrix(c(-0.3, 0.5,0.6,-0.3),2,2))
y=uTAR.sim(nob=2000, arorder=c(2,2), phi=phi, d=2, thr=0.2, cnst=c(1,-1), sigma=c(1, 1))
thr.est=uTAR(y=y$series, p1=2, p2=2, d=2, thrQ=c(0,1), Trim=c(0.1,0.9), method="RLS")
est=uTAR.est(y=y$series, arorder=c(2,2), thr=thr.est$thr, d=2)
uTAR.pred(mode=est, orig=2000,h=1,iteration=100,ci=0.95,output=TRUE)

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