Description Usage Arguments Value
Functions to simulate example data
1 2 3 4 5 | sim_dgp(n, g = 0.8, h = 1, sd_2 = 1)
sim_dgp_est(n, g = 0.8, sd_2 = 1, presample = 50)
sim_dgp_quantiles(n, a = 0.05, tau1, tau2)
|
n |
nr of observations |
g |
persistence parameter |
h |
forecast horizon |
sd_2 |
variance parameter, determines relative performance |
presample, |
number of presample observations |
a |
quantile level |
tau1 |
precision parameter for forecaster 1 |
tau2 |
precision parameter for forecaster 2 |
matrix of dimension (n x 3), containing forecasts (columns 1, 2) and realizations (column 3) from example process
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