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Forecasting

description

Need to
(1) add improved forecast visualization window
(2) implement forecasting for GARCH models

comments

abrockwell wrote May 23, 2009 at 1:11 AM

Structure has now been finalized: forecasting is a transformation that takes (1) a model, (2) some initial data, and using (3) a set of future times points generates as output a set of predictive means (and possibly other properties of the predictive distributions)

This has been implemented for ARMA models, not yet for GARCH or Vector ARs.

wrote May 20, 2011 at 1:37 PM

wrote Feb 14, 2013 at 2:48 AM