Function for calculation of variances of nstep forecasts
using a marima type model.
Usage
forec.var(marima, nstep = 1, dif.poly = NULL)
Arguments
marima
marima object (cov.u and ar.estimates and
ma.estimates are used)
nstep
length of forecast
dif.poly
autoregressive representation of differencing
polynomial as constructed by the function
define.dif(...) when the time series is differenced
(if so) before being analysed by marima.
Value
pred.var = variance-covariances for nstep forecasts
(an array with dimension (kvar, kvar, nstep).rand.shock = corresponding random shock representation
of the model used.