predict: Model Prediction

In tsmodels/tsvets: Vector ETS Models

Model Prediction

Description

Prediction function for class “tsvets.estimate”.

Usage

## S3 method for class 'tsvets.estimate'
predict(
  object,
  h = 12,
  newxreg = NULL,
  nsim = 1000,
  forc_dates = NULL,
  init_states = NULL,
  ...
)

Arguments

object	an object of class “tsvets.estimate”.
h	the forecast horizon.
newxreg	a matrix of external regressors in the forecast horizon.
nsim	the number of simulations to use for generating the simulated predictive distribution.
forc_dates	an optional vector of forecast dates equal to h. If NULL will use the implied periodicity of the data to generate a regular sequence of dates after the last available date in the data.
init_states	an optional vector of states to initialize the forecast. If NULL, will use the last available state from the estimated model.
...	not currently used.

Details

Generates the predicted distribution of the vector Additive ETS model simulating from the multivariate Normal distribution with covariance based on the estimated model residuals.

Value

An object of class “tsvets.predict” with most relevant output a data.table which contains one row for each series and columns of tsmodel.predict objects, one for the predicted values, and for each of the states.

tsmodels/tsvets documentation built on June 13, 2022, 2:14 p.m.