Gauthier Pierard
2015-Aug-18 08:37 UTC
[R] R: forecasting a binary time series using the VLMC package
I would like to ask some clarifications on the method: predict.vlmc My problem is to forecast a binary time series one period ahead. I have a time series bin2 of length 2000. When using m2<-vlmc(bin2) fc2<-predict(m2) 1. fc2[i] is a prediction for i, not for i+1, is that correct? I am aware that the documentation stipulates "Compute predictions on a fitted VLMC object for each (but the first) element of another discrete time series.", but am still asking to make it 100% clear. 2. I guess that the predictions fc2 are based on the full range [1:2000] of bin2, because I fitted a VLMC to the full timeseries on the first line above. Therefore, I am actually forecasting each period by already "knowing the future", is that correct? 3. In order to forecast while "not knowing the future", can I do the following: for(i in 1000:1999) { retFull2 <- window(retFull, start=1, end=i) bin2<- window(bin, start=1, end=i) dummy<-ts(c(bin2,0)) #Adding a dummy zero at the end of each window #so that a prediction will be made for i+1 as well #without using i+1 while fitting the model m2<-vlmc(bin2) # bin2 granges from 1 to i fct2<-predict(m2, dummy)[i+1,1] #forecasting on an " artificially-added" i+1 index.} I am adding a "dummy" zero at the end of each windowed ts, and predicting for i+1 as well. Is it relevant at all? Any suggestions? Any practical suggestions on how to best forecast these binary time series? Many thanks in advance, cheers!!!!!!!! [[alternative HTML version deleted]]