https://github.com/cran/dse
Tip revision: 83dd780387085f7dae6366d8ad7562f0420a9d95 authored by Paul Gilbert on 17 November 2011, 00:00:00 UTC
version 2011.11-2
version 2011.11-2
Tip revision: 83dd780
sumSqerror.Rd
\name{sumSqerror}
\alias{sumSqerror}
\title{Calculate sum of squared prediction errors}
\description{
Calculate a weighted sum squared prediction errors for a parameterization.
}
\usage{
sumSqerror(coefficients, model=NULL, data=NULL, error.weights=NULL)}
\arguments{
\item{coefficients}{A vector of coefficients (parameters).}
\item{model}{an object of class TSmodel which gives the structure
of the model for which coefficients are used. \code{coef(model)} should
be the same length as coefficients.}
\item{data}{an object of class TSdata which gives the data with
which the model is to be evaluated.}
\item{error.weights}{a vector of weights to be applied to the
squared prediction errors.}
}
\value{
The value of the sum squared errors for a prediction horizon given by the
length of error.weights. Each period ahead is weighted by the corresponding
weight in error.weights.
}
\details{
This function is primarily for use in parameter optimization,
which requires that an objective function be specified by a vector
of parameters.It returns only the sum of the weighted squared
errors (eg.for optimization).
The sample size is determined by TobsOutput(data).
}
\seealso{
\code{\link{l}}
\code{\link{l.SS}}
\code{\link{l.ARMA}}
}
\examples{
data("eg1.DSE.data.diff", package="dse")
model <- estVARXls(eg1.DSE.data.diff)
sumSqerror(1e-10 + coef(model), model=TSmodel(model),
data=TSdata(model), error.weights=c(1,1,10))
}
\concept{DSE}
\keyword{ts}