intervals: Prediction intervals

Description Usage Arguments Details Value Author(s) References See Also Examples

Description

These function return prediction intervals based on the estimated "smooth" model.

Usage

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    intervals.sd(model, level=0.95, centre=TRUE)
    intervals.mae(model, level=0.95, centre=TRUE)
    intervals.mad(model, level=0.95, centre=TRUE)
    intervals.ts(model, level=0.95, centre=TRUE)
    intervals.hm(model, level=0.95, centre=TRUE)
    intervals.qr(model, level=0.95)
    intervals.qr2(model, level=0.95)
    intervals.kde(model, level=0.95, type=c("multi","single"),
                          kdetype=c("diffusion","SJ","nrd0"))
    intervals.empir(model, level=0.95, type=c("multi","single"), quantiletype=7)
    intervals.lowess(model, level=0.95, type=c("multi","single"), quantiletype=7)

Arguments

model

Object of the class 'smooth'.

level

Confidence level for the intervals construction.

centre

Defines whether the centering is needed for errors. If FALSE, then the errors are assumed to have zero mean.

type

Type of multi-step interval calculation: ‘multi’ for using multiple steps ahead errors and ‘single’ for using one step ahead error only.

kdetype

Type of kernel used for intervals.kde. See kdemode for details.

quantiletype

Quantile algorithm used. See quantile for details.

Details

Value

lower

Lower bound of prediction interval.

upper

Upper bound of prediction interval.

sigma

Matrix with lower and upper sigmas.

hmValues

Vector with values of half moments for each horizon.

Author(s)

Ivan Svetunkov and Nikolaos Kourentzes

References

Nothing here yet.

See Also

Nothing

Examples

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    library(smooth)

    ourModel <- es(rnorm(100,100,10))
    intervals.sd(ourModel)
    intervals.mae(ourModel)
    intervals.mad(ourModel)
    intervals.ts(ourModel)
    intervals.hm(ourModel)
    intervals.qr(ourModel)
    intervals.qr2(ourModel)
    intervals.kde(ourModel)
    intervals.empir(ourModel)
    intervals.lowess(ourModel)

trnnick/TStools documentation built on Sept. 14, 2019, 5:22 a.m.