forecast.rlgtfit function

Rlgt forecast

produce forecasts from an rlgtfit object

## S3 method for class 'rlgtfit'
forecast(
  object,
  xreg = NULL,
  h = ifelse(frequency(object$x) > 1, 2 * frequency(object$x), 10),
  level = c(80, 95),
  NUM_OF_TRIALS = 2000,
  ...
)

Arguments

• object: rlgtfit object
• xreg: input regression matrix
• h: forecasting horizon (the default is 10 for annual and 2*periods otherwise)
• level: confidence levels for prediction intervals a.k.a. coverage percentiles. Musat be between 0 and 100.
• NUM_OF_TRIALS: number of simulations to run. Suggested range is between (1000,5000), but it needs to be higher for good coverage for very high levels, e.g. 99.8.
• ...: currently not used

Returns

returns a forecast object compatible with the forecast package in R

Examples

# The following is a toy example that runs within a few seconds. To get good 
# fitting results the number of iterations should be set to at least 2000, and 
# 4 chains should be used (the default). To speed up computation the number of 
# cores should also be adjusted (default is 4).

rlgt_model <- rlgt(lynx, 
       control=rlgt.control(MAX_NUM_OF_REPEATS=1, NUM_OF_ITER=50, NUM_OF_CHAINS = 1, 
                            NUM_OF_CORES = 1), verbose=TRUE)

# print the model details
print(rlgt_model)

# Produce Forecasts for the next 10 years
forecast_result <- forecast(rlgt_model, h = 10, level=c(80, 95, 98))

plot(forecast_result,main="Forecasting lynx dataset with LGT model")