Nothing
BacktestDMA <- function(object, iBurnPeriod = NULL){
vY = object@data$vY
iT = length(vY)
if (is.null(iBurnPeriod)) {
iBurnPeriod = round(iT / 3)
warnings(paste("No burin in period has been selected. ", iBurnPeriod,
" periods (approximately 1/3 of the sample) has been automatically selected.", sep = ""))
}
vBurnIN = 1:iBurnPeriod
vEps_DMA = (object@Est$veps)[-vBurnIN]
vLpdf_DMA = object@Est$vLpdfhat[-vBurnIN]
vEps_DMS = (object@Est$vyhat_DMS - vY)[-vBurnIN]
vLpdf_DMS = object@Est$vLpdfhat_DMS[-vBurnIN]
mOut = matrix(NA, 3, 2, dimnames = list(c("MSE", "MAD", "Log-predictive Likelihood"), c("DMA", "DMS")))
mOut["MSE", "DMA"] = mean(vEps_DMA^2.0)
mOut["MSE", "DMS"] = mean(vEps_DMS^2.0)
mOut["MAD", "DMA"] = mean(abs(vEps_DMA))
mOut["MAD", "DMS"] = mean(abs(vEps_DMS))
mOut["Log-predictive Likelihood", "DMA"] = sum(vLpdf_DMA)
mOut["Log-predictive Likelihood", "DMS"] = sum(vLpdf_DMS)
return(mOut)
}
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