outsamp {signalextraction}R Documentation

Out of Sample Method for the Direct Filter Approach

Description

Out of sample values based on the direct filter approach.

Usage

outsamp(object, newdata=NULL, sequel=TRUE, ...)

Arguments

object An R object of class "dfa", typically the result of dfa().
newdata For out-of-sample values, this has to be a numerical vector. It can be of arbitrary length but has to contain further observations of the time series x. If newdata is omitted (and therefore equals NULL), then the in-sample fitted values are returned.
sequel Logical, defaults to TRUE and only has an effect if there are newdata. If set to TRUE, it is assumed that the new data are a direct sequel to the original series and thus, these original values are used for the asymmetric filter. If sequel is FALSE, then the observations prior to the start of the new series are estimated by a backcast.
... Further arguments passed to or from other methods.

Details

This function yields a so-called nowcast for a time series, by applying the asymmetrical filter obtained from dfa. Initial values, at the beginning of a time series, are estimated by backcasting it. This function, outsamp can also be used to produce out-of-sample nowcasts, where the asymmetrical filter is applied to a time series that was not involved in its estimation.

Value

Output is a numerical vector of the same length as the input vector. It contains the filtered time series.

Author(s)

Marc Wildi & Marcel Dettling, <[wia/dem]@zhwin.ch>

References

Marc Wildi, Real-Time Signal Extraction (Beyond Maximum Likelihood Principles), Springer. To appear in 2007.

See Also

dfa

Examples

data(fit)

## Instead of calling data(fit), one could run (time consuming)
## set.seed(21)
## data(x)
## fit <- dfa(x)

outsamp(fit)
plot(outsamp(fit))
plot(outsamp(fit, newdata=rnorm(100), sequel=FALSE))

[Package signalextraction version 2.0.3 Index]