Displaying 3 results from an estimated 3 matches for "nahead".
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2011 Feb 22
0
Problem with forward prediction using StructTS output
I am having problems with forward prediction using the output of the
Basic Structural Model from StructTS. The following snippet
illustrates the problem:
t_end <- 139
nahead <- 20
data(AirPassengers)
ap <- log10(AirPassengers)-2
fit <- StructTS(ts(ap[1:t_end], freq=12), type="BSM")
p <- stats:::predict.StructTS(fit, n.ahead=nahead)
plot(1:t_end, ap[1:t_end], xlim=c(0,t_end+nahead), type="l", ylim=c(0,1.2))
points((t_end+1):(t_end+nahead)...
2014 Jan 08
0
Strange behaviour of `dlm` package
...- buildfun(fit$par)
tsdataFilter <- dlmFilter(tsdata, mod=dlmTsdata)
tsdataSmooth <- dlmSmooth(tsdata, mod=dlmTsdata)
plot(tsdata, lwd=2)
for (i in 1:10)
lines(lty=6, col="blue", dropFirst(dlmBSample(tsdataFilter))[,1])
# looks ok!
tsdataForecast <- dlmForecast(tsdataFilter, nAhead=20)
sqrtR <- sapply(tsdataForecast$R, function(x) sqrt(x[1,1]))
pl <- tsdataForecast$a[,1] + qnorm(0.05, sd= sqrtR)
pu <- tsdataForecast$a[,1] + qnorm(0.95, sd= sqrtR)
x <- ts.union(tsdata,tsdataSmooth$s[,1],tsdataForecast$a[,1],pl,pu)
plot(x, plot.type="single", type="l...
2009 Mar 11
1
Forecasting with dlm
...1]), dW = exp(x[2]))
}
fit <- dlmMLE(CostUSD, parm = c(0,0), build = buildFun)
fit$conv
dlmCostUSD <- buildFun(fit$par)
V(dlmCostUSD)
W(dlmCostUSD)
#For comparison
StructTS(CostUSD, "level")
CostUSDFilt <- dlmFilter(CostUSD, dlmCostUSD)
CostUSDFore <- dlmForecast(CostUSDFilt, nAhead = 1)
after which i return the error message:
Error in mod$m[lastObsIndex, ] : incorrect number of dimensions
Can anyone offer any insight to this problem?
Thanks in advance
Mike
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