FGN (version 2.0-12)

predict.FitFGN: Forecasts from a fitted FGN model

Description

The exact finite-sample minimum mean square error forecasts are computed using the Trench algorithm.

Usage

"predict"(object, n.ahead = 1, ...)

Arguments

object

"FitFGN" object produced by FitFGN

n.ahead

forecasts are done for lead times 1,...,n.ahead

...

optional arguments, are ignored

Value

A list with components

Forecasts

matrix with m+1 rows and maxLead columns with the forecasts

SDForecasts

matrix with m+1 rows and maxLead columns with the sd of the forecasts

References

McLeod, A.I., Yu, Hao, Krougly, Zinovi L. (2007). Algorithms for Linear Time Series Analysis, Journal of Statistical Software.

See Also

FitFGN, TrenchForecast PredictionVariance predict.Arima

Examples

data(NileMin)
out<-FitFGN(NileMin)
predict(out, n.ahead=15)