Extract the residual values from an estimated model.
# S3 method for tsissm.estimate
residuals(object, standardize = FALSE, transformed = TRUE, ...)An xts vector of the model residuals for h = 1, else a data.table with rows representing the first prediction date and columns the h-ahead forecast residuals.
an object of class “tsissm.estimate”.
whether to scale the residuals by the estimated standard deviation.
residuals based values in transformed space (Box Cox).
not currently used.
For h>1, this is like performing an in-sample backtest starting at time 1 with fixed coefficients. The purpose of having the matrix of h-step ahead residuals is in order to calculate the 1:h covariance matrix as well as the cross 1:h covariance matrix when ensembling series at multiple horizons.