minForecastCov {dse} | R Documentation |
Extract the minimum forecastCov at each horizon
minForecastCov(obj, series=1, verbose=TRUE)
obj |
An object as returned by stripMine. |
series |
An indicator of the series which are to be used as the bases for selection. |
verbose |
If true additional information is printed. |
Select the min covariance (for series only!) at each horizon and print. The returned object is a vector indicating the element of forecastCov which was the min at each horizon. It is suitable as an argument to plot eg: tfplot(obj, select.cov=minForecastCov(obj)) The results of this plot are similar to the default results of tfplot(selectForecastCov(obj)). Covariance information and information about the horizon where the model is optimal are given.
The returned object is a vector indicating the element of forecastCov which was the min at each horizon.
selectForecastCov
,
excludeForecastCov
data("eg1.DSE.data.diff", package="dse")
z <- stripMine(eg1.DSE.data.diff, essential.data=c(1,2),
estimation.methods=list(estVARXls=list(max.lag=3)))
z <- minForecastCov(z)