forecastCovCompiled: Forecast covariance for different models - internal

In dse: Dynamic Systems Estimation (Time Series Package)

Description

See forecastCov.

Usage

    forecastCovCompiled(model, data, horizons = 1:12,
         discard.before=minimumStartupLag(model))
    ## S3 method for class 'ARMA'
forecastCovCompiled(model, data, horizons = 1:12,
         discard.before=minimumStartupLag(model))
    ## S3 method for class 'SS'
forecastCovCompiled(model, data, horizons = 1:12,
         discard.before=minimumStartupLag(model))
    ## S3 method for class 'innov'
forecastCovCompiled(model, data, horizons = 1:12,
         discard.before=minimumStartupLag(model))
    ## S3 method for class 'nonInnov'
forecastCovCompiled(model, data, horizons = 1:12,
         discard.before=minimumStartupLag(model))
     forecastCovSingleModel( model, data=NULL, horizons=1:12, 
          discard.before=minimumStartupLag(model), compiled=.DSEflags()$COMPILED)

Arguments

obj	TSdata or one or more TSmodels or TSestModels
data	an object of class TSdata.
discard.before	period before which forecasts should be discarded when calculating covariance.
horizons	horizons for which forecast covariance should be calculated.
zero	if TRUE the covariance is calculated for a forecast of zero.
trend	if TRUE the covariance is calculated for a forecast of trend.
estimation.sample	portion of the sample to use for calculating the trend.
compiled	a logical indicating if compiled code should be used. (Usually true except for debugging.)
...	arguments passed to other methods.

Details

Not to be called by users. See forecastCov.

Value

A list with the forecast covariance for supplied models on the given sample. This is in the element forecastCov of the result. Other elements contain information in the arguments.

dse documentation built on March 26, 2020, 7:12 p.m.