forecast.cov.wrt.true
Generate forecasts and compare them against the output of a true model
Description
Generate forecasts and compare them against the output of a true model.
Usage
forecast.cov.wrt.true( models, true.model,
pred.replications=1, simulation.args=NULL, quiet=F,
seed=NULL, Spawn=.SPAWN,
horizons=1:12, discard.before=10, trend=NULL, zero=NULL)
Required Arguments
- models
-
A list of objects of class TSmodel.
- true.model
-
An object of class TSmodel.
Optional Arguments
- discard.before
-
An integer indicating the number of points in the
beginning of forecasts to discard for calculating covariances.
- zero
-
If T then forecast.cov is also calculated for a forecast of zero.
- trend
-
If T then forecast.cov is also calculated for a forecast of a linear trend.
- horizons
-
Horizons for which forecast covariance should be calculated.
- horizons
-
Horizons for which forecast covariance should be calculated.
- seed
-
If specified then it is used to set .Random.seed.
- Spawn
-
If T then Splus For loops are used.
- quiet
-
If T then some messages are not printed.
Value
A list with the forecast covariance for supplied models on samples
generated by the given true model. This is in the element $forecast.cov
of the result. Other elements contain information in the arguments.
Details
The true model is used to generate more
data and for each generated data set the forecasts of the
models are evaluated against the simulated data.
If trend is not null it is treated as a model output (forecast) and
should be the same dimension as a simulation of the models with
simulation.args. If zero is not null a zero forecast is also evaluated.
See Also
Examples
z <- forecast.cov.wrt.true( models, true.model)
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