horizonForecasts {dse2} | R Documentation

## Calculate forecasts at specified horizons

### Description

Calculate forecasts at specified horizons.

### Usage

        is.horizonForecasts(obj)
        horizonForecasts(obj, ...)
        ## S3 method for class 'TSmodel':
        horizonForecasts(obj, data, horizons=1:4,
             discard.before=minimumStartupLag(obj), compiled=.DSECOMPILED, ...)
        ## S3 method for class 'TSestModel':
        horizonForecasts(obj, data=NULL, ...)
        ## S3 method for class 'TSdata':
        horizonForecasts(obj, model, ...)
        ## S3 method for class 'forecastCov':
        horizonForecasts(obj,horizons=NULL,
             discard.before=NULL, ...)

### Arguments

`obj` | an object of class TSmodel, TSdata, or TSestModel.
`model` | an object of class TSmodel.
`data` | an object of class TSdata
`horizons` | a vector of integers indicating the horizon at which forecasts should be produced.
`discard.before` | period before which forecasts are not calculated.
`compiled` | if TRUE compiled code is called.
`...` | arguments passed to other methods.

### Details

Calculate multiple 'horizon'-step ahead forecasts ie. calculate forecasts but return only those indicated by horizons. Thus, for example, the result of horizonForecasts(model, data horizons=c(1,5)) would be the one-step ahead and five step ahead forecasts.

### Value

The result is a list of class horizonForecasts with elements model (a TSmodel), data, horizons, discard.before, and horizonForecasts. horizonForecasts is an array with three dimension: `c(length(horizons), dim(model$data))`. Projections are not calculated before discard.before or after the end of outputData(data). Each horizon is aligned so that horizonForecasts[h,t,] contains the forecast for the data point outputData(data)[t,] (from horizon[h] periods prior).

### See Also

`featherForecasts`

### Examples

    if(is.R()) data("eg1.DSE.data.diff", package="dse1")
    model <- estVARXls(eg1.DSE.data.diff)
    z <-  horizonForecasts(model, eg1.DSE.data.diff)

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