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 June 12, 2026, 5:07 p.m.