

armapred(timeslab)                           R Documentation

_C_a_l_c_u_l_a_t_e _E_x_a_c_t _P_r_e_d_i_c_t_i_o_n_s _f_o_r _a_n _A_R_M_A _P_r_o_c_e_s_s

_D_e_s_c_r_i_p_t_i_o_n_:

     Calculate Exact Predictions for an ARMA Process

_U_s_a_g_e_:

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

_A_r_g_u_m_e_n_t_s_:

       x: Array of length $n$ containing the realization to
          be used in the prediction.

   alpha: Array containing AR coefficients $lpha$.

    beta: Array containing MA coefficients $eta$.

    rvar: Real scalar containing error variance
          $sigma^2(>0)$.

   t1,t2: Integers $(1<={t{t1}}<={t{t2}}<= n)$ specifying
          the range of memories to be used.

   h1,h2: Integers $(1<={t{h1}}<={t{h2}})$ specifying the
          horizons to be used.

_V_a_l_u_e_:

      xp: Array of length $({t{t2}}-{t{t1}}+1)({t{h2}}-
          {t{h1}}+1)$ containing predictors.

      se: Real scalar containing the prediction standard
          errors for the predictors in the array {`xp'}.

