forec.var {marima}R Documentation

forec.var

Description

Function for calculation of variances of nstep forecasts using a marima type model.

Usage

forec.var(marima, nstep = 1, dif.poly = NULL)

Arguments

marima

marima object (cov.u and ar.estimates and ma.estimates are used)

nstep

length of forecast

dif.poly

autoregressive representation of differencing polynomial as constructed by the function define.dif(...) when the time series is differenced (if so) before being analysed by marima.

Value

pred.var = variance-covariances for nstep forecasts (an array with dimension (kvar, kvar, nstep).

rand.shock = corresponding random shock representation of the model used.


[Package marima version 2.2 Index]