predict.far | R Documentation |
Forecasting using FAR(1) or FARX(1) model
## S3 method for class 'far' predict(object, ..., newdata=NULL, label, na.rm=TRUE, positive=FALSE)
object |
A |
newdata |
A data matrix (one column for each observation) used to
predict the FAR(1) model from the values in newdata, or |
label |
A vector of character giving the dates to associate to the predicted observations. |
na.rm |
Logical. Does the |
positive |
Logical. Does the result must be forced to positive values. |
... |
Additional arguments. |
This function computes one step forward prediction for a
far
model.
Use the newdata
option to input the past values,
and the label
option value to define the labels for the new
observations. Notices that the output as the same length as
newdata
in the case of a FAR model, and the length of
newdata
minus one in the case of a FARX model. This is due to
the time shift of the exogeneous variable: Xt+1 and
Yt are used in the computation of
Ypt+1.
In some special context, the user may need to suppress the
na.rm
observations with the na.rm
option, or force the
prediction to be positive with the positive
option (in this
case the result will be maximum of 0 and the predicted value).
A fdata
object.
J. Damon
far
, pred.persist
,
predict.kerfon
.
# Simulation of a FARX process data1 <- simul.farx(m=10,n=400,base=base.simul.far(20,5), base.exo=base.simul.far(20,5), d.a=matrix(c(0.5,0),nrow=1,ncol=2), alpha.conj=matrix(c(0.2,0),nrow=1,ncol=2), d.rho=diag(c(0.45,0.90,0.34,0.45)), alpha=diag(c(0.5,0.23,0.018)), d.rho.exo=diag(c(0.45,0.90,0.34,0.45)), cst1=0.0) # Cross validation (joined and separate) model1.cv <- far.cv(data=data1, y="X", x="Z", kn=8, ncv=10, cvcrit="X", center=FALSE, na.rm=FALSE, joined=TRUE) model2.cv <- far.cv(data=data1, y="X", x="Z", kn=c(4,4), ncv=10, cvcrit="X", center=FALSE, na.rm=FALSE, joined=FALSE) print(model1.cv) print(model2.cv) k1 <- model1.cv$minL2[1] k2 <- model2.cv$minL2[1:2] # Modelization of the FARX process (joined and separate) model1 <- far(data=data1, y="X", x="Z", kn=k1, center=FALSE, na.rm=FALSE, joined=TRUE) model2 <- far(data=data1, y="X", x="Z", kn=k2, center=FALSE, na.rm=FALSE, joined=FALSE) # Predicting values pred1 <- predict(model1,newdata=data1) pred2 <- predict(model2,newdata=data1) # Persistence persist1 <- pred.persist(select.fdata(data1,date=1:399),x="X") # Real values real1 <- select.fdata(data1,date=2:400) errors0 <- persist1[[1]]-real1[[1]] errors1 <- pred1[[1]]-real1[[1]] errors2 <- pred2[[1]]-real1[[1]] # Norm of observations summary(real1) # Persistence summary(as.fdata(errors0)) # FARX models summary(as.fdata(errors1)) summary(as.fdata(errors2))
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