recursive_forecast: Recursive forecast of BVAR model

In hoanguc3m/fatBVARS: Bayesian VAR with Stochastic volatility and fat tails

Recursive forecast of BVAR model

Description

This function returns a recursive forecast of future observations of BVAR-SV-fatTail model.

Usage

recursive_forecast(
  y,
  t_start = 100,
  t_pred = 12,
  K,
  p,
  dist = "MST",
  SV = T,
  numCores = NULL
)

Arguments

y	the whole data matrix T x k.
t_start	the start point for forecast.
t_pred	The time prediction horizon.
K	The number of variables in y.
p	The number of lags in BVAR model.

Value

The recursive forecast density of future observations of BVAR model

Examples

## Not run: 
recuresive_model1 <- recursive_forecast(y, t_start, t_pred, K, p, dist = "MST", SV = T)

## End(Not run)

hoanguc3m/fatBVARS documentation built on Oct. 12, 2024, 6:37 a.m.