tsCV {forecast} | R Documentation |
tsCV
computes the forecast errors obtained by applying forecastfunction
to subsets of the time series y
using a rolling forecast origin.
tsCV(y, forecastfunction, h=1, ...)
y |
Univariate time series |
forecastfunction |
Function to return an object of class |
h |
Forecast horizon |
... |
Other arguments are passed to |
Let y
contain the time series y[1:T]. Then forecastfunction
is applied successively to the time series y[1:t], for t=1,…,T-h, making predictions f[t+h]. The errors are given by e[t+h] = y[t+h]-f[t+h]. These are returned as a vector, e[1:T]. The first few errors may be missing as it may not be possible to apply forecastfunction
to very short time series.
Numerical time series object containing the forecast errors.
Rob J Hyndman
#Fit an AR(2) model to each subset far2 <- function(x, h){forecast(Arima(x, order=c(2,0,0)), h=h)} e <- tsCV(lynx, far2, h=1)