min.forecast.cov {dse2}R Documentation

Minimum Forecast Cov Models

Description

Extract the minimum forecast.cov at each horizon

Usage

    min.forecast.cov(obj, select.series=1, verbose=T)

Arguments

obj An object as returned by mine.strip.
select.series An indicator of the series which are to be used as the bases for selection.
verbose If true additional information is printed.

Details

Select the min covariance (for select.series only!) at each horizon and print. The returned object is a vector indicating the element of forecast.cov which was the min at each horizon. It is suitable as an argument to plot eg: tfplot(obj, select.cov=min.forecast.cov(obj)) The results of this plot are similar to the default results of tfplot(select.forecast.cov(obj)). Covariance information and information about the horizon where the model is optimal are given.

Value

The returned object is a vector indicating the element of forecast.cov which was the min at each horizon.

See Also

select.forecast.cov, exclude.forecast.cov

Examples

if(is.R()) data("eg1.DSE.data.diff", package="dse1")
z <- mine.strip(eg1.DSE.data.diff, essential.data=c(1,2),
                   estimation.methods=list(est.VARX.ls=list(max.lag=3)))
z <-  min.forecast.cov(z)