VAR_recursive: VAR_recursive
In jdestefani/ExtendedDFML: Extended Dynamic Factor Machine Learner
Description
Usage
Arguments
Value
Description
Implementation of a recursive multivariate VAR Model
Usage
1
VAR_recursive(X, model_order, h)
Arguments
X
nxN matrix containing the N time series as columns, each one of length n time steps
model_order
Model order (m in VAR(m)) for the VAR model - numeric scalar
h
Forecasting horizon
Value
List containing:
forecasts: N x h matrix containing the h-step ahead forecast for the N input series
coefficients: (m+1) x N matrix containing the model coefficients (m coefficient + constant)
jdestefani/ExtendedDFML documentation built on Dec. 20, 2021, 10:04 p.m.
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Description Usage Arguments Value
Description
Implementation of a recursive multivariate VAR Model
Usage
1 | VAR_recursive(X, model_order, h)
|
Arguments
X |
|
model_order |
|
h |
|
Value
List containing:
forecasts: N x h matrix containing the h-step ahead forecast for the N input seriescoefficients: (m+1) x N matrix containing the model coefficients (m coefficient + constant)
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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