FoReco (version 0.2.6)

arrange_hres: Re-arrange the multi-step residuals

Description

Re-arrange the multi-step residuals

Usage

arrange_hres(list_res)

Value

A vector or a matrix of multi-step residuals

Arguments

list_res

a list of H multi-step residuals. Each element of the list can be a vector (univariate time series) or a matrix (multivariate time series).

Details

Let Z_t, t=1,...,T, be a univariate time series. We can define the multi-step residuals such us _h,t = Z_t+h - Z_t+h|t h t T-h where Z_t+h|t is the h-step fitted value, calculated as the h-step ahead forecast given the time t. Given the list of errors at different step ([_1,1, \; ..., \; _1,T], ..., [_H,1, \; ..., \; _H,T]) this function returns a T-vector with the residuals, organized in the following way: [_1,1 \; _2,2 \; ... \; _H,H \; _1,H+1 \; ... \; _H,T-H]' Same idea can be apply for a multivariate time series.

See Also

Other utilities: Cmatrix(), FoReco2ts(), agg_ts(), commat(), ctf_tools(), hts_tools(), lcmat(), oct_bounds(), residuals_matrix(), score_index(), shrink_estim(), thf_tools()