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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