demography: isfe – R documentation

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demography

isfe

Integrated Squared Forecast Error for models of various orders

Description

Computes ISFE values for functional time series models of various orders.

Usage

isfe(...)

## S3 method for class 'demogdata'
isfe(data, series = names(data$rate)[1],
  max.order = N - 3, N = 10, h = 5:10, ages = data$age,
  max.age = max(ages), method = c("classical", "M", "rapca"),
  fmethod = c("arima", "ar", "arfima", "ets", "ets.na", "struct",
  "rwdrift", "rw"), lambda = 3, ...)

Arguments

`...`	Additional arguments control the fitting procedure.
`data`	demogdata object.
`series`	name of series within data holding rates (1x1)
`max.order`	Maximum number of basis functions to fit.
`N`	Minimum number of functional observations to be used in fitting a model.
`h`	Forecast horizons over which to average.
`ages`	Ages to include in fit.
`max.age`	Maximum age to fit.
`method`	Method to use for principal components decomposition. Possibilities are “M”, “rapca” and “classical”.
`fmethod`	Method used for forecasting. Current possibilities are “ets”, “arima”, “ets.na”, “struct”, “rwdrift” and “rw”.
`lambda`	Tuning parameter for robustness when `method="M"`.

Value

Numeric matrix with (max.order+1) rows and length(h) columns containing ISFE values for models of orders 0:max.order.

Author(s)

Rob J Hyndman

References

Hyndman, R.J., and Ullah, S. (2007) Robust forecasting of mortality and fertility rates: a functional data approach. Computational Statistics & Data Analysis, 51, 4942-4956. http://robjhyndman.com/papers/funcfor