out_of_sample.mtar: Computing Out-of-Sample predictive accuracy measures
In mtarm: Bayesian Estimation of Multivariate Threshold Autoregressive Models

out_of_sample.mtar

R Documentation

Computing Out-of-Sample predictive accuracy measures

Computes Out-of-Sample predictive accuracy measures for two or more objects of class mtar.

## S3 method for class 'mtar'
out_of_sample(
  ...,
  newdata,
  n.ahead = NULL,
  credible = 0.95,
  FUN = mean,
  rolling = NULL
)

`...`	one or more objects of class `mtar`.
`newdata`	A `data.frame` containing future values of the threshold series (if included in the fitted model), the exogenous series (if included in the fitted model), and the realized values of the output series.
`n.ahead`	A positive integer specifying the number of steps ahead to forecast.
`credible`	An optional numeric value in `(0,1)` specifying the level of the required prediction intervals. By default, `credible` is set to `0.95`.
`FUN`	An optional function used to summarize the `n.ahead` values computed for each predictive accuracy measure. By default, `FUN` is set to `mean`.
`rolling`	An optional positive integer specifying the rolling-window size used for forecasting. By default, `rolling = NULL`, indicating that rolling-window forecasting is not performed.