tsmoments: Analytic Forecast Moments

In tsmodels/tsissm: Linear Innovations State Space Unobserved Components Model

Analytic Forecast Moments

Description

Prediction function for class “tsissm.estimate”.

Usage

## S3 method for class 'tsissm.estimate'
tsmoments(
  object,
  h = 1,
  newxreg = NULL,
  init_states = NULL,
  transform = FALSE,
  ...
)

Arguments

object	an object of class “tsissm.estimate”.
h	the forecast horizon.
newxreg	a matrix of external regressors in the forecast horizon.
init_states	optional vector of states to initialize the forecast. If NULL, will use the last available state from the estimated model.
transform	whether to backtransform the mean forecast. For the Box-Cox and logit transformations this uses a Taylor Series expansion to adjust for the bias.
...	not currently used.

tsmodels/tsissm documentation built on Oct. 15, 2022, 6:44 a.m.