lps function

Compute Log-Predictive Scores

Computes and prints log-predictive score of an object of class bgvar.predict.

## S3 method for class 'bgvar.pred'
lps(object, ...)

Arguments

• object: An object of class bgvar.predict.
• ...: Additional arguments.

Returns

Returns an object of class bgvar.lps, which is a matrix of dimension h times K, whereas h is the forecasting horizon and K is the number of variables in the system.

Examples

library(BGVAR)
data(testdata)
model.ssvs.eer<-bgvar(Data=testdata,W=W.test,draws=100,burnin=100,
                      plag=1,prior="SSVS",eigen=TRUE,hold.out=8)
fcast <- predict(model.ssvs.eer,n.ahead=8,save.store=TRUE)
lps <- lps(fcast)

Author(s)

Maximilian Boeck, Martin Feldkircher