Library: | multi |
See also: | forec2 forecast |
Quantlet: | covfore2 | |
Description: | Computes forecast MSE matrix for undiff. time series |
Usage: | covf2=covfore2(f,a,cova,covu,di,ord,adj,tb,te,h,typ) | |
Input: | ||
f | matrix | |
a | matrix of parameters | |
cova | matrix, covariance matrix of parameters | |
covu | matrix, covariance matrix of residuals | |
di | scalar, dimension of time series | |
ord | vector, order of series | |
adj | scalar, 1=if adjusted, 0=if not | |
tb | integer, (time) begin | |
te | integer, (time) end | |
h | integer, forecast horizon | |
typ | integer, indicating the model type | |
Output: | ||
covf2 | matrix, forecast MSE |