predict.gmwm: Predict future points in the time series using the solution...

In schoi355/gmwm: Generalized Method of Wavelet Moments

Predict future points in the time series using the solution of the Generalized Method of Wavelet Moments

Description

Creates a prediction using the estimated values of GMWM through the ARIMA function within R.

Usage

## S3 method for class 'gmwm'
predict(object, data.in.gmwm, n.ahead = 1, ...)

Arguments

object	A gmwm object
data.in.gmwm	The data SAME EXACT DATA used in the GMWM estimation
n.ahead	Number of observations to forecast
...	Additional parameters passed to ARIMA Predict

Value

A predict.gmwm object with:

pred

Predictions

se

Standard Errors

resid

Residuals from ARIMA ML Fit

See Also

gmwm, ARMA

Examples

# Simulate an ARMA Process
xt = gen_gts(1000, ARMA(ar=0.3, ma=0.6, sigma2=1))
model = gmwm(ARMA(1,1), xt)

# Make prediction
predict(model, xt, n.ahead = 1)

schoi355/gmwm documentation built on April 11, 2022, 1:21 a.m.