Last data update: 2014.03.03
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R: Compute the average coverage of the prediction intervals...
avg_coverage_arima | R Documentation |
Compute the average coverage of the prediction intervals computed by
naive plug-in method and arima_pi
Description
Computes expected coverage probabilities of the prediction intervals of
ARMA process by simulating time series from the known model.
Usage
avg_coverage_arima(phi = NULL, theta = NULL, d = 0, n, n_ahead = 1,
nsim2, nsim = 100, level = 0.95, prior = "uniform",
return_all_coverages = FALSE, ...)
Arguments
phi |
vector containing the AR parameters
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theta |
vector containing the MA parameters
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d |
degree of differencing
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n |
length of the time series
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n_ahead |
length of the forecast horizon
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nsim2 |
number of simulations used in computing the expected coverage
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nsim |
number of simulations used in importance sampling
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level |
desired coverage probability of the prediction intervals
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prior |
prior to be used in importance sampling. Multiple choices are allowed.
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return_all_coverages |
return raw results i.e. coverages for each simulations. When FALSE (default), summary statistics are returned.
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... |
additional arguments to arima_pi .
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Value
a list containing the coverage probabilities
See Also
arima_pi .
Examples
## Not run:
set.seed(123)
# takes a while, notice se, increase nsim2 to get more accurate results
avg_coverage_arima(phi = 0.9, n = 50, n_ahead = 10, nsim2 = 100)
avg_coverage_arima(phi = 0.9, theta = -0.6, n = 50, n_ahead = 10, nsim2 = 100)
## End(Not run)
Results
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