out.of.sample: Out-of-sample predictive accuracy measures

In mtarm: Bayesian Estimation of Multivariate Threshold Autoregressive Models

Out-of-sample predictive accuracy measures

Description

Computes out-of-sample predictive accuracy measures for one or more fitted models of the same class, based on their predictive distributions.

Usage

out.of.sample(..., newdata, n.ahead)

Arguments

...	one or more fitted model objects of the same class.
newdata	a data frame containing the future values of the output series required to evaluate predictive performance.
n.ahead	a positive integer specifying the number of forecast steps ahead to use in the predictive performance evaluation.

mtarm documentation built on Jan. 12, 2026, 1:07 a.m.