ForecastDMQ {DMQ} | R Documentation |
Forecast with univariate DMQ model
Description
Compute the H-steap ahead prediction of the quantile processes.
Usage
ForecastDMQ(Fit, H)
Arguments
Fit |
The output of the function EstimateDMQ. |
H |
|
Value
A numeric
matrix of dimension HxJ, where J is the number of quantiles.
Author(s)
Leopoldo Catania
Examples
# Load Microsoft Corporation logarithmic percentage returns from December 8,
# 2010 to November 15, 2018 for a total of T = 2000 observation
data("MSFT")
##############################################################
######################## Estimate DMQ ########################
##############################################################
# Estimate DMQ at tau_j = 0.05, 0.10, ..., 0.95
# with fixed median as reference quantile.
Fit = EstimateDMQ(vY = vY,
vTau = seq(0.05, 0.95, 0.05),
iTau_star = 10,
FixReference = TRUE,
fn.optimizer = fn.solnp)
# Compute 20-step ahead predictions
mQ_pred = ForecastDMQ(Fit, H = 20)
mQ_pred
[Package DMQ version 0.1.2 Index]