residuals.tsissm.estimate {tsissm}R Documentation

Model Residuals

Description

Extract the residual values from an estimated model.

Usage

## S3 method for class 'tsissm.estimate'
residuals(object, standardize = FALSE, transformed = TRUE, ...)

Arguments

object

an object of class “tsissm.estimate”.

standardize

whether to scale the residuals by the estimated standard deviation.

transformed

residuals based values in transformed space (Box Cox).

...

not currently used.

Details

For h>1, this is like performing an in-sample backtest starting at time 1 with fixed coefficients. The purpose of having the matrix of h-step ahead residuals is in order to calculate the 1:h covariance matrix as well as the cross 1:h covariance matrix when ensembling series at multiple horizons.

Value

An xts vector of the model residuals for h = 1, else a data.table with rows representing the first prediction date and columns the h-ahead forecast residuals.

Note

The function can use parallel functionality (for h>1) as long as the user has set up a plan using the future package.


[Package tsissm version 1.0.1 Index]