R: Compute the average coverage of the prediction intervals...
avg_coverage_struct
R Documentation
Compute the average coverage of the prediction intervals computed by struct_pi
and plug-in method
Description
Computes expected coverage probabilities of the prediction intervals of structural time series model.
Note that for the plug-in method only standard deviations are assumed to be identical to their estimates,
but the initial values for the states are still treated as diffuse. Because of this,
plug-in method often performs relatively well in case of structural time series models
compared to similar type of ARIMA models
(local level and local linear trend models are closely related to ARIMA(0,1,1) and ARIMA(0,2,2) models),
and in some cases even outperforms the importance sampling approach with uniform prior (see examples).
This is not suprising, as local level and local linear trend models are closely related to ARIMA(0,1,1) and ARIMA(0,2,2) models,
and the effect of uncertainty in MA components is not as significant as the uncertainty of AR components