forecastCovEstimatorsWRTdata {dse} R Documentation

Calculate Forecast Cov of Estimators WRT Data

Description

forecast covariance of estimated models with respect to a given sample

Usage

    forecastCovEstimatorsWRTdata(data, estimation.sample=NULL,
horizons=1:12, zero=FALSE, trend=FALSE,quiet=FALSE,
estimation.methods=NULL)
is.forecastCovEstimatorsWRTdata(obj)


Arguments

 data an object of class TSdata. estimation.methods a list as used by estimateModels. discard.before an integer indicating the number of points in the beginning of forecasts to discard for calculating covariances. zero if TRUE then forecastCov is also calculated for a forecast of zero. trend if TRUE then forecastCov is also calculated for a forecast of a linear trend. estimation.sample an integer indicating the number of points in the sample to use for estimation. If it is NULL the whole sample is used. horizons horizons for which forecast covariance should be calculated. quiet if TRUE then estimation information is not printed. compiled a logical indicating if the compiled version of the code should be used. (FALSE would typically only be used for debugging.) obj an object.

Details

Calculate the forecasts cov of models estimated from data with estimation methods indicated by estimation.methods (see estimateModels). estimation.sample is an integer indicating the number of points in the sample to use for estimation. If it is NULL the whole sample is used.

Value

A list with the forecast covariance for supplied models on the given sample. This is in the element forecastCov of the result. Other elements contain information in the arguments.

outOfSample.forecastCovEstimatorsWRTdata, estimateModels
data("eg1.DSE.data.diff", package="dse")