UComp (version 5.0.4)

TETSmodel: TETSmodel

Description

Estimates and forecasts TOBIT TETS general univariate models

Usage

TETSmodel(
  y,
  u = NULL,
  model = "???",
  s = frequency(y),
  h = max(2 * s, 6),
  criterion = "aicc",
  forIntervals = FALSE,
  bootstrap = FALSE,
  nSimul = 5000,
  verbose = FALSE,
  alphaL = c(0, 1),
  betaL = alphaL,
  gammaL = alphaL,
  phiL = c(0.8, 0.98),
  p0 = -99999,
  Ymin = -Inf,
  Ymax = Inf
)

Value

An object of class TETS. It is a list with fields including all the inputs and the fields listed below as outputs. All the functions in this package fill in part of the fields of any TETS object as specified in what follows (function

TETS fills in all of them at once):

After running TETSmodel or TETSestim:

p

Estimated parameters

criteria

Values for estimation criteria (LogLik, AIC, BIC, AICc)

yFor

Forecasted values of output

yForV

Variance of forecasted values of output

ySimul

Bootstrap simulations for forecasting distribution evaluation

After running TETSvalidate:

table

Estimation and validation table

comp

Estimated components in matrix form

After running TETScomponents:

comp

Estimated components in matrix form

Arguments

y

a time series to forecast (it may be either a numerical vector or a time series object). This is the only input required. If a vector, the additional input s should be supplied compulsorily (see below).

u

a matrix of input time series. If the output wanted to be forecast, matrix u should contain future values for inputs.

model

the model to estimate. It is a single string indicating the type of model for each component with one or two letters:

• Error: ? / A

• Trend: ? / N / A / Ad

• Seasonal: ? / N / A

s

seasonal period of time series (1 for annual, 4 for quarterly, ...)

h

forecast horizon. If the model includes inputs h is not used, the lenght of u is used instead.

criterion

information criterion for identification ("aic", "bic" or "aicc").

forIntervals

estimate forecasting intervals (TRUE / FALSE)

bootstrap

use bootstrap simulation for predictive distributions

nSimul

number of simulation runs for bootstrap simulation of predictive distributions

verbose

intermediate estimation output (TRUE / FALSE)

alphaL

constraints limits for alpha parameter

betaL

constraints limits for beta parameter

gammaL

constraints limits for gamma parameter

phiL

constraints limits for phi parameter

p0

initial values for parameter search (alpha, beta, phi, gamma, sigma2) with consraints:

Ymin

scalar or vector of time varying censoring values from below

Ymax

scalar or vector of time varying censoring values from above

• 0 < alpha < 1

• 0 < beta < alpha

• 0 < phi < 1

• 0 < gamma < 1 - alpha

• sigma2 > 0

Author

Diego J. Pedregal

Details

TETSmodel is a function for modelling and forecasting univariate time series with TOBIT ExponenTial Smoothing (TETS) time series models. It sets up the model with a number of control variables that govern the way the rest of functions in the package will work. It also estimates the model parameters by Maximum Likelihood and forecasts the data.

See Also

TETS, TETSvalidate, TETScomponents, TETSestim

Examples

if (FALSE) {
y <- log(AirPAssengers)
m1 <- TETSmodel(y)
m1 <- TETSmodel(y, model = "A?A")
}