https://github.com/cran/dse
Tip revision: bbfde2f4b8a2382769a2591a7b594943a0e5e1dd authored by Paul Gilbert on 14 March 2011, 00:00:00 UTC
version 2011.3-1
version 2011.3-1
Tip revision: bbfde2f
forecastCovReductionsWRTtrue.Rd
\name{forecastCovReductionsWRTtrue}
\alias{forecastCovReductionsWRTtrue}
\title{Forecast covariance for different models}
\description{Calculate the forecast covariance for different models.}
\usage{
forecastCovReductionsWRTtrue(true.model, rng=NULL,
simulation.args=NULL,
est.replications=2, pred.replications=2,
discard.before=10, horizons=1:12,quiet=FALSE,
estimation.methods=NULL,
criteria=NULL, compiled=.DSEflags()$COMPILED)
%% Spawn=if (exists(".SPAWN")) .SPAWN else FALSE)
}
\arguments{
\item{true.model}{An object of class TSmodel or TSestModel.}
\item{discard.before}{
An integer indicating the number of points in the
beginning of forecasts to discard for calculating covariances.}
\item{est.replications}{an interger indicating the number of times
simulation and estimation are repeated.}
\item{pred.replications}{an argument passed to \code{forecastCovWRTtrue}.}
\item{simulation.args}{
A list of any arguments which should be passed to simulate
in order to simulate the true model.}
\item{horizons}{Horizons for which forecast covariance should be calculated.}
\item{rng}{If specified then it is used to set RNG.}
%% \item{Spawn}{If TRUE then Splus For loops are used.}
\item{quiet}{If TRUE then some messages are not printed.}
\item{estimation.methods}{a list as used by estimateModels.}
\item{criteria}{a ...}
\item{compiled}{a logical indicating if compiled code should be
used. (Usually true except for debugging.)}
}
\value{
A list ...
}
\details{
Calculate the forecasts cov of reduced models estimated from simulations of
true.model with an estimation method indicated by estimation.methods.
(estimation.methods is as in estimation.models BUT ONLY THE FIRST IS USED.)
discard.before is an integer indicating 1+the number of points in the
beginning of forecasts to discard for calculating forecast covariances.
criteria can be a vector of criteria as in informationTests,
(eg c("taic", "tbic") in which case the "best" model for each criteria
is accounted separately. (ie. it is added to the beginning of the list of
estimated models)
}
\concept{DSE}
\keyword{ts}