GenHMM1d (version 0.2.1)

ForecastHMMPdf: Forecasted density function of a univariate HMM at time n+k1, n+k2, ...

Description

This function computes the probability forecasted density function (with respect to Dirac(0)+Lesbesgue) of a univariate HMM for multiple horizons, given observations up to time n

Usage

ForecastHMMPdf(
  y,
  ZI = 0,
  family,
  theta,
  Q,
  eta,
  size = 0,
  k = 1,
  graph = FALSE
)

Value

pdf

values of the pdf function

Arguments

y

points at which the pdf function is computed

ZI

1 if zero-inflated, 0 otherwise (default)

family

distribution name; run the function distributions() for help

theta

parameters; (r x p)

Q

probability transition matrix for the regimes; (r x r)

eta

vector of the estimated probability of each regime at time n; (1 x r)

size

additional parameter for some discrete distributions; run the command distributions() for help

k

prediction times (may be a vector of integers)

graph

TRUE to produce plots (FALSE is default)

Examples

family = "gaussian"
theta = matrix(c(-1.5, 1.7, 1, 1),2,2)
Q = matrix(c(0.8, 0.3, 0.2, 0.7), 2, 2)
eta = c(0.06, 0.94)
x=seq(from=-6, to=6, by=0.1)
k=c(1,5,10,20)
pdf = ForecastHMMPdf(x, 1, family, theta, Q, eta, k=k, graph=TRUE)