var_forecast {multivar}R Documentation

Estimate h-step ahead forecasts based on the recovered transition matrix.

Description

Estimate h-step ahead forecasts based on the recovered transition matrix.

Usage

var_forecast(yf, h, A)

Arguments

yf

A d x T data matrix where d is the number of observed variables and T is the number of timepoints.

h

An integer indicating the forecast horizon.

A

A d x d transition matrix.

Examples


theta    <- diag(c(.7,.8,.9,.6,.7,.9))
data     <- t(var_sim(100, theta, diag(.1,6)))
datalag  <- embed(data, 2)
b        <- datalag[,1:6]
A        <- datalag[,7:12]
A_est    <- fista_sparse(A, b, 1, theta, niter = 10, backtrack = TRUE)$out.x
var_forecast(t(b), 2, A_est)


[Package multivar version 0.0.1 Index]