minForecastCov             package:dse2             R Documentation

_M_i_n_i_m_u_m _F_o_r_e_c_a_s_t _C_o_v _M_o_d_e_l_s

_D_e_s_c_r_i_p_t_i_o_n:

     Extract the minimum forecastCov at each horizon

_U_s_a_g_e:

         minForecastCov(obj, series=1, verbose=TRUE)

_A_r_g_u_m_e_n_t_s:

     obj: An object as returned by stripMine.

  series: An indicator of the series which are to be used as the bases
          for selection.

 verbose: If true additional information is printed.

_D_e_t_a_i_l_s:

     Select the min covariance (for series only!) at each horizon and
     print.  The returned object is a vector indicating the element of
     forecastCov which was the min at each horizon. It is suitable as
     an argument to plot eg:  tfplot(obj,
     select.cov=minForecastCov(obj)) The results of this plot are
     similar to the default results of tfplot(selectForecastCov(obj)).
     Covariance information and information about the horizon where the
     model is optimal are given.

_V_a_l_u_e:

     The returned object is a vector indicating the element of
     forecastCov which was the min at each horizon.

_S_e_e _A_l_s_o:

     'selectForecastCov', 'excludeForecastCov'

_E_x_a_m_p_l_e_s:

     if(is.R()) data("eg1.DSE.data.diff", package="dse1")
     z <- stripMine(eg1.DSE.data.diff, essential.data=c(1,2),
                        estimation.methods=list(estVARXls=list(max.lag=3)))
     z <-  minForecastCov(z)

