calc_overall_predicton_eta function

Function to calculate overall prediction eta for the T method

calc_M_hat calculates the overall prediction eta for the T method.

calc_overall_predicton_eta(M, M_hat, subtracts_V_e = TRUE)

Arguments

• M: Vector with length n. The (true) value of the dependent variable after the data trasformation.
• M_hat: Vector with length n. The estimated values of the dependent variable after the data trasformation.
• subtracts_V_e: If TRUE, then the error variance is subtracted in the numerator when calculating eta_hat.

Returns

Numeric. Overall prediction eta which is used to measure the estimation accuracy.

Examples

# The value of the dependent variable of the following samples mediates
# in the stackloss dataset.
stackloss_center <- stackloss[c(9, 10, 11, 20, 21), ]

# The following samples are data other than the unit space data and the test
# data.
stackloss_signal <- stackloss[-c(2, 9, 10, 11, 12, 19, 20, 21), ]

# The following settings are same as the T1 method.
model <- general_T(unit_space_data = stackloss_center,
                   signal_space_data = stackloss_signal,
                   generates_transform_functions =
                                       generates_transformation_functions_T1,
                   subtracts_V_e = TRUE,
                   includes_transformed_data = TRUE)

modified_eta_hat <- model$eta_hat
modified_eta_hat[3] <- 0

modified_M_hat <- calc_M_hat(model$X, model$beta_hat, modified_eta_hat)

(modified_overall_predicton_eta <-
                            calc_overall_predicton_eta(model$M,
                                                       modified_M_hat,
                                                       subtracts_V_e = TRUE))

See Also

general_T and general_forecasting.T