forecast_roll {bvhar}

Out-of-sample Forecasting based on Rolling Window

Description

This function conducts rolling window forecasting.

Usage

forecast_roll(object, n_ahead, y_test, roll_thread = 1, mod_thread = 1)

## S3 method for class 'bvharcv'
print(x, digits = max(3L, getOption("digits") - 3L), ...)

## S3 method for class 'bvharcv'
knit_print(x, ...)

Arguments

object

Model object

n_ahead

Step to forecast in rolling window scheme

y_test

Test data to be compared. Use divide_ts() if you don't have separate evaluation dataset.

roll_thread

Number of threads when rolling window

mod_thread

Number of threads when fitting the models

x

bvharcv object

digits

digit option to print

...

not used

Details

Rolling windows forecasting fixes window size. It moves the window ahead and forecast h-ahead in y_test set.

Value

predbvhar_roll class

References

Hyndman, R. J., & Athanasopoulos, G. (2021). Forecasting: Principles and practice (3rd ed.). OTEXTS.

See Also

See ts_forecasting_cv for out-of-sample forecasting methods.