predict_coef | R Documentation |
Exact predictive parameters for multi-step MixAR prediction.
predict_coef(model, maxh)
model |
a MixAR model. |
maxh |
maximal horizon. |
predict_coef()
implements the method of
\insertCiteboshnakov2009mar;textualmixAR for the h-step prediction
of MixAR processes. The h-step predictive distribution has a MixAR
distribution with g^h components and this function computes its
parameters.
predict_coef()
implements the results by
\insertCiteboshnakov2009mar;textualmixAR to compute the parameters
of the predictive distributions. predict_coef()
is mostly a
helper function, use multiStep_dist
for
prediction/forecasting (the exact method for multiStep_dist
uses predict_coef()
to do the main work).
predict_coef()
returns a list of lists containing the
quantities needed for each horizon h, see section Value.
Alternatiely, the parameters can be obtained as MixAR models
by calling the function generated by the exact method of
multiStep_dist
with argument what = "MixAR"
.
a list with components:
arcoefs |
a list, |
sigmas |
a list, |
probs |
a list, |
sStable |
a list, |
Georgi N. Boshnakov
multiStep_dist
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