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.