| VARMApred {MTS} | R Documentation |
VARMA Prediction
Description
Compute forecasts and their associate forecast error covariances of a VARMA model
Usage
VARMApred(model, h = 1, orig = 0)
Arguments
model |
A fitted VARMA model |
h |
Number of steps of forecasts, i.e., forecast horizon. |
orig |
Forecast origin. Default is the end of the sample. |
Value
pred |
Predictions |
se.err |
Standard errors of forecasts |
orig |
Forecast origin |
Author(s)
Ruey S. Tsay
References
Tsay (2014, Chapter 3). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.
[Package MTS version 1.2.1 Index]