idio.predict: Forecasting idiosyncratic VAR process

In fnets: Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series

Forecasting idiosyncratic VAR process

Description

Produces forecasts of the idiosyncratic VAR process for a given forecasting horizon by estimating the best linear predictors

Usage

idio.predict(object, x, cpre, n.ahead = 1)

Arguments

object	fnets object
x	input time series, with each row representing a variable
cpre	output of common.predict
n.ahead	forecast horizon

Value

a list containing

is	in-sample estimator of the idiosyncratic component (with each column representing a variable)
fc	forecasts of the idiosyncratic component for a given forecasting horizon h (with each column representing a variable)
n.ahead	forecast horizon

Examples

## Not run: 
out <- fnets(data.unrestricted,
do.lrpc = FALSE, var.args = list(n.cores = 2))
cpre <- common.predict(out)
ipre <- idio.predict(out, cpre)

## End(Not run)

fnets documentation built on May 29, 2024, 8:42 a.m.