historical_average_forc {lmForc}

Historical average forecast

Description

historical_average_forc takes an average function, a vector of realized values, an integer number of periods ahead to forecast, a period to end the initial average estimation and begin forecasting, an optional vector of time data associated with the realized values, and an optional integer number of past periods to estimate the average over. The historical average is originally calculated with realized values up to estimation_end minus the number of periods specified in estimation_window. If estimation_window is left NULL then the historical average is calculated with all available realized values up to estimation_end. In each period the historical average is set as the h_ahead period ahead forecast. This process is iteratively repeated for each period after estimation_end with the historical average updating in each period as more information would have become available to the forecaster. Returns a historical average forecast where the h_ahead period ahead forecast is simply the historical average or rolling window average of the series being forecasted.

Usage

historical_average_forc(
  avg_function,
  realized_vec,
  h_ahead,
  estimation_end,
  time_vec = NULL,
  estimation_window = NULL
)

Arguments

avg_function

Character, either "mean" or "median". Selects whether forecasts are made using the historical mean or historical median of the series.

realized_vec

Vector of realized values. This is the series that is being forecasted.

h_ahead

Integer representing the number of periods ahead that is being forecasted.

estimation_end

Value of any class representing when to end the initial average estimation period and begin forecasting.

time_vec

Vector of any class that is equal in length to the realized_vec vector.

estimation_window

Integer representing the number of past periods that the historical average should be estimated over in each period.

Value

Forecast object that contains the historical average forecast.

See Also

For a detailed example see the help vignette: vignette("lmForc", package = "lmForc")

Examples

date <- as.Date(c("2010-03-31", "2010-06-30", "2010-09-30", "2010-12-31",
                  "2011-03-31", "2011-06-30", "2011-09-30", "2011-12-31", 
                  "2012-03-31", "2012-06-30"))
y  <- c(1.09, 1.71, 1.09, 2.46, 1.78, 1.35, 2.89, 2.11, 2.97, 0.99)
data <- data.frame(date, y)

historical_average_forc(
  avg_function = "mean",
  realized_vec = data$y,
  h_ahead = 2L,
  estimation_end = as.Date("2011-03-31"),
  time_vec = data$date,
  estimation_window = 4L
)
 
historical_average_forc(
  avg_function = "median",
  realized_vec = data$y,
  h_ahead = 4L,
  estimation_end = 4L
)