MTS: sVARMApred – R documentation

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sVARMApred

Prediction of a fitted multiplicative seasonal VARMA model

Perform prediction of a seasonal VARMA model

sVARMApred(model,orig,h=1)

`model`	An output of the sVARMA command
`orig`	The forecast origin.
`h`	The forecast horizon. For a given h, it computes 1-step to h-step ahead forecasts. Default is 1.

Perform prediction of a fitted sVARMA model

`data`	The original data matrix
`pred`	Forecasts
`se.err`	Standard errors of forecasts
`orig`	Return the forecast origin

Ruey S. Tsay

Tsay (2014, chapter 6). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models

v1.0

Artistic License 2.0

Authors

Ruey S. Tsay and David Wood

Initial release

2018-10-8