tsPI: Improved Prediction Intervals for ARIMA Processes and Structural Time Series

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Prediction intervals for ARIMA and structural time series models using importance sampling approach with uninformative priors for model parameters, leading to more accurate coverage probabilities in frequentist sense. Instead of sampling the future observations and hidden states of the state space representation of the model, only model parameters are sampled, and the method is based solving the equations corresponding to the conditional coverage probability of the prediction intervals. This makes method relatively fast compared to for example MCMC methods, and standard errors of prediction limits can also be computed straightforwardly.

Author
Jouni Helske
Date of publication
2016-03-17 13:14:01
Maintainer
Jouni Helske <jouni.helske@jyu.fi>
License
GPL-3
Version
1.0.1

View on CRAN

Man pages

acv_arma
Compute a theoretical autocovariance function of ARMA process
arima_pi
Prediction Intervals for ARIMA Processes with Exogenous...
avg_coverage_arima
Compute the average coverage of the prediction intervals...
avg_coverage_struct
Compute the average coverage of the prediction intervals...
dacv_arma
Compute the partial derivatives of theoretical autocovariance...
information_arma
Large Sample Approximation of Information Matrix for ARMA...
priors
Compute different types of importance weights based on...
struct_pi
Prediction Intervals for Structural Time Series with...
tsPI
Improved Prediction Intervals for ARIMA Processes and...

Files in this package

tsPI
tsPI/inst
tsPI/inst/CITATION
tsPI/tests
tsPI/tests/testthat
tsPI/tests/testthat/test_acv_armaR.R
tsPI/tests/testthat/test-arima_pi.R
tsPI/tests/testthat/test_information_arma.R
tsPI/tests/testthat/test-struct_pi.R
tsPI/tests/test-all.R
tsPI/src
tsPI/src/Makevars
tsPI/src/arcov.f95
tsPI/src/declarations.h
tsPI/src/approxinfmat.f95
tsPI/src/init.c
tsPI/NAMESPACE
tsPI/R
tsPI/R/struct_pi.R
tsPI/R/acv_arma.R
tsPI/R/avg_coverage_struct.R
tsPI/R/priors.R
tsPI/R/information_arma.R
tsPI/R/tsPI-package.R
tsPI/R/arima_pi.R
tsPI/R/avg_coverage.R
tsPI/MD5
tsPI/DESCRIPTION
tsPI/ChangeLog
tsPI/man
tsPI/man/acv_arma.Rd
tsPI/man/struct_pi.Rd
tsPI/man/avg_coverage_struct.Rd
tsPI/man/dacv_arma.Rd
tsPI/man/avg_coverage_arima.Rd
tsPI/man/priors.Rd
tsPI/man/arima_pi.Rd
tsPI/man/information_arma.Rd
tsPI/man/tsPI.Rd