Description Usage Arguments Details Value Examples
View source: R/XFcstTrueSimple.R
Given the true generating process (uncorrelated 10 series), generate on into the future.
1 | XTrueSimple(horizon, sigmax, p, ARmatrix, Xinput, nsize)
|
horizon |
a number. Forecast horizon. |
sigmax |
a number. Standard deviation of noise of x. |
p |
a number. Number of covariates x. |
ARmatrix |
a list of 3 matrices. |
Xinput |
a matrix. The original training X matrix for forecast, DAT$X.for.fcst (10 series) |
nsize |
a number. Size (nrow(Xinput)). Essentially the length of training period, used to get the end points (or starting points) of the future period. |
Compared to the original Xgen*
which used vectorised VAR(1), here I use VAR(3) to iteratively produce future points.
a matrix
X.trueforecast |
a matrix. Forecast values for each series produced by true method, simple scenario. |
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