predict.statespace: Predict using a statespace object

In viking: State-Space Models Inference by Kalman or Viking

Predict using a statespace object

Description

predict.statespace makes a prediction for a statespace object, in the offline or online setting.

Usage

## S3 method for class 'statespace'
predict(
  object,
  newX,
  newy = NULL,
  online = TRUE,
  compute_smooth = FALSE,
  type = c("mean", "proba", "model"),
  ...
)

Arguments

object	the statespace object
newX	the design matrix in the prediction set
newy	(default NULL) the variable of interest in the prediction set. If specified it allows to use the state-space model in the online setting. Otherwise the prediction is offline.
online	(default TRUE) specifies if the prediction is made online, that is if the observation at time t-1 is used to update the model before predicting at time t.
compute_smooth	(default FALSE) specifies if Kalman Smoothing is also computed.
type	type of prediction. Can be either mean return the mean forecast. proba return a probabilistic forecast (list containing estimation of the mean and standard deviation). model return the updated statespace object (containing also the forecasts).
...	additional parameters

Value

Depending on the type specified, the result is
- a vector of mean forecast if type='mean' - a list of two vectors, mean forecast and standard deviations if type='proba' - a statespace object if type='model'

viking documentation built on Oct. 6, 2023, 5:06 p.m.