backtest function

Backtest

Backtest for an ARIMA time series model.

backtest(m1, rt, orig, h, xre = NULL, fixed = NULL, include.mean = TRUE)

Arguments

• m1: an ARIMA time series model object.
• rt: the time series.
• orig: forecast origin.
• h: forecast horizon.
• xre: the independent variables.
• fixed: parameter constraint.
• include.mean: a logical value for constant term of the model. Default is TRUE.

Returns

The function returns a list with following components: - orig: the starting forecast origin.

• err: observed value minus fitted value.

• rmse: RMSE of out-of-sample forecasts.

• mabso: mean absolute error of out-of-sample forecasts.

• bias: bias of out-of-sample forecasts.

Examples

data=arima.sim(n=100,list(ar=c(0.5,0.3)))
model=arima(data,order=c(2,0,0))
backtest(model,data,orig=70,h=1)