Usage
arfimaroll(spec, data, n.ahead = 1, forecast.length = 500, refit.every = 25,
refit.window = c("recursive", "moving"), parallel = FALSE,
parallel.control = list(pkg = c("multicore", "snowfall"), cores = 2),
solver = "solnp", fit.control = list(), solver.control = list(),
calculate.VaR = TRUE, VaR.alpha = c(0.01, 0.05), ...)Arguments
spec
An ARFIMA spec object specifiying the desired model for testing.
data
A univariate dataset.
n.ahead
The number of periods to forecast.
forecast.length
The length of the total forecast for which out of
sample data from the dataset will be excluded for testing.
refit.every
Determines every how many periods the model is
re-estimated.
refit.window
Whether the refit is done on an expanding window
including all the previous data or a moving window, the length of the window
determined by the argument above (refit.every).
parallel
Whether to make use of parallel processing on multicore
systems.
parallel.control
The parallel control options including the type of
package for performing the parallel calculations (multicore for
non-windows O/S and snowfall for all O/S), and the number of cores to
make use of.
fit.control
Control parameters parameters passed to the fitting
function.
solver.control
Control parameters passed to the solver.
calculate.VaR
Whether to calculate forecast Value at Risk during the
estimation.
VaR.alpha
The Value at Risk tail level to calculate.