NTS (version 1.1.3)

backtest: Backtest

Description

Backtest for an ARIMA time series model.

Usage

backtest(m1, rt, orig, h, xre = NULL, fixed = NULL, include.mean = TRUE)

Value

The function returns a list with following components:

orig

the starting forecast origin.

err

observed value minus fitted value.

rmse

RMSE of out-of-sample forecasts.

mabso

mean absolute error of out-of-sample forecasts.

bias

bias of out-of-sample forecasts.

Arguments

m1

an ARIMA time series model object.

rt

the time series.

orig

forecast origin.

h

forecast horizon.

xre

the independent variables.

fixed

parameter constraint.

include.mean

a logical value for constant term of the model. Default is TRUE.

Examples

data=arima.sim(n=100,list(ar=c(0.5,0.3)))
model=arima(data,order=c(2,0,0))
backtest(model,data,orig=70,h=1)