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]