primiceri_draws_to_1d_forecast: Convert future MCMC draws from TVP a la Primiceri to interval...
In bdemeshev/torro:

Description Usage Arguments Details Value Examples

primiceri_draws_to_1d_forecast creates lower and upper interval borders, mean from future MCMC draws a la Primiceri for one specific variable.

1 2	primiceri_draws_to_1d_forecast(model, y_actual, series_no = 1, h = 1, level = c(80, 95))

`model`	estimated TVP a la primiceri model
`y_actual`	original multivariate time series. One column is extracted and is stored in forecast object.
`series_no`	number of time series to predict
`h`	forecasting horizon
`level`	vector of confidence levels

For every h future MCMC draws are obtained, than standard forecast object is created.

one dimensional complex forecast object

data(rus_macro)
y_small <- rus_macro[, c("cpi", "employment", "m2")]
y_small_scaled <- scale_to(y_small)
primiceri_model <- estimate_tvp_primiceri(y_small_scaled, p = 1)
draws <- primiceri_draws_to_1d_forecast(primiceri_model, 
  y_actual = y_small_scaled, h = 1, series_no = 1)