armapred(timeslab)R Documentation

Calculate Exact Predictions for an ARMA Process

Description

Calculate Exact Predictions for an ARMA Process

Usage

armapred(x,alpha,beta,rvar,t1,t2,h1,h2)

Arguments

x Array of length $n$ containing the realization to be used in the prediction.
alpha Array containing AR coefficients $Valpha$.
beta Array containing MA coefficients $Vbeta$.
rvar Real scalar containing error variance $&sigma^2(>0)$.
t1,t2 Integers $(1<={tt{t1}}<={tt{t2}}<= n)$ specifying the range of memories to be used.
h1,h2 Integers $(1<={tt{h1}}<={tt{h2}})$ specifying the horizons to be used.

Value

xp Array of length $({tt{t2}}-{tt{t1}}+1)({tt{h2}}- {tt{h1}}+1)$ containing predictors.
se Real scalar containing the prediction standard errors for the predictors in the array {xp}.


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