WARp_forecast_tangent

This is a simplified function that produces the one-step ahead forecasts from WAR(p) models in the tangent space

internal

Implementation of the methodologies described in 1) Alexander Petersen, Xi Liu and Afshin A. Divani (2021) <doi:10.1214/20-aos1971>, including global F tests, partial F tests, intrinsic Wasserstein-infinity bands and Wasserstein density bands, and 2) Chao Zhang, Piotr Kokoszka and Alexander Petersen (2022) <doi:10.1111/jtsa.12590>, including estimation, prediction, and inference of the Wasserstein autoregressive models.

Xi Liu

Wasserstein Regression and Inference

Chao Zhang

Matthew Coleman

Alexander Petersen

WARp_forecast_tangent function

<dl><dt>p</dt>
<dd>A positive integer, the order of the WAR(p) model.</dd>
<dt>acvfs</dt>
<dd>A list that is the output of <code>WARp_acvfs()</code></dd></dl>

Arguments

Forecast using WAR(p) models — WARp_forecast_tangent

<dl>

<dt>p</dt>
<dd>A positive integer, the order of the WAR(p) model.</dd>


<dt>acvfs</dt>
<dd>A list that is the output of <code>WARp_acvfs()</code></dd>

</dl>

WARp_forecast_tangent: Forecast using WAR(p) models

Description

Usage

Value

Arguments

References