forec.var: forec.var
In marima: Multivariate ARIMA and ARIMA-X Analysis
Description
Usage
Arguments
Value
Description
Function for calculation of variances of nstep forecasts
using a marima type model.
Usage
1
Arguments
marima
marima object (cov.u and ar.estimates and
ma.estimates are used)
nstep
length of forecast
dif.poly
autoregressive representation of differencing
polynomial as constructed by the function
define.dif(...) when the time series is differenced
(if so) before being analysed by marima.
Value
pred.var = variance-covariances for nstep forecasts
(an array with dimension (kvar, kvar, nstep).
rand.shock = corresponding random shock representation
of the model used.
marima documentation built on May 2, 2019, 2:10 p.m.
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Description Usage Arguments Value
Description
Function for calculation of variances of nstep forecasts using a marima type model.
Usage
1 |
Arguments
marima |
marima object (cov.u and ar.estimates and ma.estimates are used) |
nstep |
length of forecast |
dif.poly |
autoregressive representation of differencing polynomial as constructed by the function define.dif(...) when the time series is differenced (if so) before being analysed by marima. |
Value
pred.var = variance-covariances for nstep forecasts (an array with dimension (kvar, kvar, nstep).
rand.shock = corresponding random shock representation of the model used.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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