innov.hstep: Performs the innovations algorithm for h-step-ahead...

In gregorkb/tscourse: Contains several functions for time series analysis.

Performs the innovations algorithm for h-step-ahead prediction.

Description

Performs the innovations algorithm for h-step-ahead prediction.

Usage

innov.hstep(X, h, K)

Arguments

X	a vector containing time series data.
h	the number of steps ahead for which to make predictions.
K	the covariance matrix of the random variables X_1,...,X_n+h.

Value

a list containing the predicted values as well as the MSPEs of the predictions and the matrix Theta. This function performs the innovations algorithm for one-step-ahead and h-step-ahead prediction. Data are centered before the prediction are computed and then mean is added back to the predictions.

gregorkb/tscourse documentation built on Oct. 3, 2022, 5:31 p.m.