TETS function

TETS

Runs all relevant functions for TETS modelling

TETS(
  y,
  u = NULL,
  model = "???",
  s = frequency(y),
  h = 2 * s,
  criterion = "aicc",
  forIntervals = FALSE,
  bootstrap = FALSE,
  nSimul = 5000,
  verbose = FALSE,
  alphaL = c(0, 1),
  betaL = alphaL,
  gammaL = alphaL,
  phiL = c(0.8, 0.98),
  p0 = -99999,
  Ymin = -Inf,
  Ymax = Inf
)

Arguments

• y: a time series to forecast (it may be either a numerical vector or a time series object). This is the only input required. If a vector, the additional input s should be supplied compulsorily (see below).

• u: a matrix of input time series. If the output wanted to be forecast, matrix u should contain future values for inputs.

• model: the model to estimate. It is a single string indicating the type of model for each component with one or two letters:

  • Error: ? / A
  • Trend: ? / N / A / Ad
  • Seasonal: ? / N / A

• s: seasonal period of time series (1 for annual, 4 for quarterly, ...)

• h: forecast horizon. If the model includes inputs h is not used, the lenght of u is used instead.

• criterion: information criterion for identification ("aic", "bic" or "aicc").

• forIntervals: estimate forecasting intervals (TRUE / FALSE)

• bootstrap: use bootstrap simulation for predictive distributions

• nSimul: number of simulation runs for bootstrap simulation of predictive distributions

• verbose: intermediate estimation output (TRUE / FALSE)

• alphaL: constraints limits for alpha parameter

• betaL: constraints limits for beta parameter

• gammaL: constraints limits for gamma parameter

• phiL: constraints limits for phi parameter

• p0: initial values for parameter search (alpha, beta, phi, gamma, sigma2) with consraints:

• Ymin: scalar or vector of time varying censoring values from below

• Ymax: scalar or vector of time varying censoring values from above

  • 0 < alpha < 1
  • 0 < beta < alpha
  • 0 < phi < 1
  • 0 < gamma < 1 - alpha
  • sigma2 > 0

Returns

An object of class TETS. See TETSforecast.

Details

See help of TETSforecast.

Examples

## Not run:

y <- log(AirPAssengers)
m1 <- TETS(y)
m1 <- TETS(y, model = "MAM")
## End(Not run)

See Also

TETSforecast, TETSvalidate, TETScomponents, TETSestim

Author(s)

Diego J. Pedregal