predict.car {cts}R Documentation

Forecast from CAR fits

Description

Forecast from models fitted by car

Usage

predict.car(object, se.fit = TRUE, digits = max(3, getOption("digits") - 3), ...)

Arguments

object the result of a car fit.
se.fit Logical: should standard errors of prediction be returned?
digits return value digits
... arguments passed to or from other methods.

Details

The Kalman filter forecasting algorithm is used.

Value

A time series of predictions, or if se.fit = TRUE, a list with components predict, the predictions, and se, the estimated standard errors. Both components are time series.

Author(s)

G. Tunnicliffe Wilson and Zhu Wang

References

Belcher, J. and Hampton, J. S. and Tunnicliffe Wilson, G. (1994). Parameterization of continuous time autoregressive models for irregularly sampled time series data. Journal of the Royal Statistical Society, Series B, Methodological,56,141–155

Jones, Richard H. (1981). Fitting a continuous time autoregression to discrete data. Applied Time Series Analysis II, 651–682

Wang, Zhu (2004). The Application of the Kalman Filter to Nonstationary Time Series through Time Deformation. PhD thesis, Southern Methodist University

See Also

car

Examples

## Not run: 
data(V22174)
(fit <- car(V22174,scale=0.2,order=7,n.ahead=10))
predict(fit)

data(asth)
(fit <- car(asth,scale=0.25,order=4,n.ahead=10))
predict(fit)
## End(Not run)

[Package cts version 1.0-1 Index]