Description Usage Arguments Value Crossvalidation Split sample Forward Subsetting
To generate reference ensemble forecasts for forecast evaluation
based on the available observations, indRef
implements the
outofsample or insample protocol to be used and generateRef
produces the corresponding ensemble forecast given the actual observations.
1 2 3 4  indRef(nfcst, type = c("none", "forward", "crossval", "block"),
indices = 1:nfcst, blocklength = 1)
generateRef(obs, ind)

nfcst 
number of forecast instances to be produce 
type 
type of outofsample protocol to be applied (see below) 
indices 
Subset of the observations / forecast times to be used for reference forecasts 
blocklength 
for crossvalidation and splitsample 
obs 
vector of observations 
ind 
list or matrix of dimension ( 
ind 
A list of indices to be used for each forecast from

Leaveoneout and leavenout crossvalidation
reference forecasts can be produced by setting type = "crossval"
. By
default, the blocklength is set to 1
, but moving blocks of length
n
can be specified by setting blocklength = n
.
In contrast to type="crossval"
,
type="block"
is used for splitsample validation with
nonoverlapping blocks of length blocklength
retained for
validation.
Correspondingly, reference forecasts that are only based on
past (future) observations can be produced using type = "forward"
.
For this, the first half of the reference forecasts only uses future
information, i.e. observations 2:n
for forecast 1
, 3:n
for 2
and so forth. The second half of the reference forecasts use
only past observations, i.e. observations 1:(n1)
for forecast
n
, 1:(n2)
for n1
, etc.
In combination with the above, a subset of the
observations can be specified for use as reference forecasts by providing
the explicit indices of the observations to be used via indices=1:k
.
In combination with the forward
method, all observations in
indices
will be used to construct the reference forecast for
forecasts not included in indices
(i.e. if nfcst >
max(indices)
).
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