dse (version 2020.2-1)

forecastCovCompiled: Forecast covariance for different models - internal

Description

See forecastCov.

Usage

forecastCovCompiled(model, data, horizons = 1:12,
         discard.before=minimumStartupLag(model))
    # S3 method for ARMA
forecastCovCompiled(model, data, horizons = 1:12,
         discard.before=minimumStartupLag(model))
    # S3 method for SS
forecastCovCompiled(model, data, horizons = 1:12,
         discard.before=minimumStartupLag(model))
    # S3 method for innov
forecastCovCompiled(model, data, horizons = 1:12,
         discard.before=minimumStartupLag(model))
    # S3 method for nonInnov
forecastCovCompiled(model, data, horizons = 1:12,
         discard.before=minimumStartupLag(model))
     forecastCovSingleModel( model, data=NULL, horizons=1:12, 
          discard.before=minimumStartupLag(model), compiled=.DSEflags()$COMPILED)

Arguments

obj

TSdata or one or more TSmodels or TSestModels

data

an object of class TSdata.

discard.before

period before which forecasts should be discarded when calculating covariance.

horizons

horizons for which forecast covariance should be calculated.

zero

if TRUE the covariance is calculated for a forecast of zero.

trend

if TRUE the covariance is calculated for a forecast of trend.

estimation.sample

portion of the sample to use for calculating the trend.

compiled

a logical indicating if compiled code should be used. (Usually true except for debugging.)

...

arguments passed to other methods.

Value

A list with the forecast covariance for supplied models on the given sample. This is in the element forecastCov of the result. Other elements contain information in the arguments.

Details

Not to be called by users. See forecastCov.