horizonForecasts: Calculate forecasts at specified horizons

In dse: Dynamic Systems Estimation (Time Series Package)

Description

Calculate forecasts at specified horizons.

Usage

    is.horizonForecasts(obj)
    horizonForecasts(obj, ...)
    ## S3 method for class 'TSmodel'
horizonForecasts(obj, data, horizons=1:4,
	 discard.before=minimumStartupLag(obj), compiled=.DSEflags()$COMPILED, ...)
    ## S3 method for class 'TSestModel'
horizonForecasts(obj, data=NULL, ...)
    ## S3 method for class 'TSdata'
horizonForecasts(obj, model, ...)
    ## S3 method for class 'forecastCov'
horizonForecasts(obj,horizons=NULL, 
         discard.before=NULL, ...)

Arguments

obj	an object of class TSmodel, TSdata, or TSestModel.
model	an object of class TSmodel.
data	an object of class TSdata
horizons	a vector of integers indicating the horizon at which forecasts should be produced.
discard.before	period before which forecasts are not calculated.
compiled	if TRUE compiled code is called.
...	arguments passed to other methods.

Details

Calculate multiple 'horizon'-step ahead forecasts ie. calculate forecasts but return only those indicated by horizons. Thus, for example, the result of horizonForecasts(model, data horizons=c(1,5)) would be the one-step ahead and five step ahead forecasts.

Value

The result is a list of class horizonForecasts with elements model (a TSmodel), data, horizons, discard.before, and horizonForecasts. horizonForecasts is an array with three dimension: c(length(horizons), dim(model$data)). Projections are not calculated before discard.before or after the end of outputData(data). Each horizon is aligned so that horizonForecasts[h,t,] contains the forecast for the data point outputData(data)[t,] (from horizon[h] periods prior).

See Also

featherForecasts

Examples

data("eg1.DSE.data.diff", package="dse")
model <- estVARXls(eg1.DSE.data.diff)
z <-  horizonForecasts(model, eg1.DSE.data.diff)

Example output

Loading required package: tfplot
Loading required package: tframe

Attaching package: 'dse'

The following objects are masked from 'package:stats':

    acf, simulate

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