backTAR: Backtest for Univariate TAR Models

In ConvFuncTimeSeries/test_t: Nonlinear time series analysis

Description

Perform back-test of a univariate SETAR model.

Usage

backTAR(model, orig, h = 1, iter = 3000)

Arguments

model	SETAR model.
orig	forecast origin.
h	forecast horizon.
iter	number of iterations.

Value

backTAR returns a list of components:

model	SETAR model.
error	prediction errors.
State	predicted states.

Examples

arorder=rep(1,2)
ar.coef=matrix(c(0.7,-0.8),2,1)
y=uTAR.sim(100,arorder,ar.coef,1,0)
est=uTAR.est(y$series,arorder,0,1)
backTAR(est,50,1,3000)

ConvFuncTimeSeries/test_t documentation built on May 29, 2019, 1:39 p.m.