idio.predict {fnets} | R Documentation |
Forecasting idiosyncratic VAR process
Description
Produces forecasts of the idiosyncratic VAR process for a given forecasting horizon by estimating the best linear predictors
Usage
idio.predict(object, x, cpre, n.ahead = 1)
Arguments
object |
|
x |
input time series, with each row representing a variable |
cpre |
output of common.predict |
n.ahead |
forecast horizon |
Value
a list containing
is |
in-sample estimator of the idiosyncratic component (with each column representing a variable) |
fc |
forecasts of the idiosyncratic component for a given forecasting horizon |
n.ahead |
forecast horizon |
Examples
## Not run:
out <- fnets(data.unrestricted,
do.lrpc = FALSE, var.args = list(n.cores = 2))
cpre <- common.predict(out)
ipre <- idio.predict(out, cpre)
## End(Not run)
[Package fnets version 0.1.6 Index]