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demography (version 1.11)

isfe: Integrated Squared Forecast Error for models of various orders

Description

Computes ISFE values for functional time series models of various orders.

Usage

## S3 method for class 'demogdata':
isfe(data, series=names(data$rate)[1], max.order=N-3, N=10, h=5:10,
    ages=data$age, max.age=100, method=c("classical", "M", "rapca"),
    fmethod = c("arima","ar","arfima","ets","ets.na","struct","rwdrift","rw"), 
    lambda=3, ...)

Arguments

data
demogdata object.
series
name of series within data holding rates (1x1)
ages
Ages to include in fit.
max.age
Maximum age to fit.
max.order
Maximum number of basis functions to fit.
N
Minimum number of functional observations to be used in fitting a model.
h
Forecast horizons over which to average.
method
Method to use for principal components decomposition. Possibilities are M, rapca and classical.
fmethod
Method used for forecasting. Current possibilities are ets, arima, ets.na, struct, rwdrift and rw.
lambda
Tuning parameter for robustness when method="M".
...
Additional arguments control the fitting procedure.

Value

  • Numeric matrix with (max.order+1) rows and length(h) columns containing ISFE values for models of orders 0:max.order.

References

Hyndman, R.J., and Ullah, S. (2007) Robust forecasting of mortality and fertility rates: a functional data approach. Computational Statistics & Data Analysis, 51, 4942-4956. http://robjhyndman.com/papers/funcfor

See Also

fdm, forecast.fdm.