predict {ARCensReg} | R Documentation |
Forecast from models fitted by ARCensReg
and ARtCensReg
.
## S3 method for class 'ARpCRM'
predict(object, x_pred, ...)
## S3 method for class 'ARtpCRM'
predict(object, x_pred, ...)
object |
An object inheriting from class |
x_pred |
Matrix of covariates for responses to be predicted. |
... |
Further arguments passed to or from other methods. |
A time series of predictions.
Fernanda L. Schumacher, Katherine L. Valeriano, Victor H. Lachos, Christian E. Galarza, and Larissa A. Matos
Schumacher FL, Lachos VH, Dey DK (2017). “Censored regression models with autoregressive errors: A likelihood-based perspective.” Canadian Journal of Statistics, 45(4), 375–392.
Valeriano KL, Schumacher FL, Galarza CE, Matos LA (2021).
“Censored autoregressive regression models with Student- t
innovations.”
arXiv preprint arXiv:2110.00224.
# Generating a sample
set.seed(2839)
n = 210
x = cbind(1, rnorm(n))
dat = rARCens(n=n, beta=c(-1,2), phi=.5, sig2=.3, x=x, cens='left', pcens=.1)
# Fitting the model
data1 = dat$data[1:205,]
fit = ARCensReg(data1$cc, data1$lcl, data1$ucl, data1$y, x[1:205,],
M=5, pc=.12, tol=0.001)
# Forecast
y_pred = predict(fit, x[206:n,])
mean((dat$data$y[206:n] - y_pred)^2) # MSPE