trait ForecasterMat extends AnyRef
The ForecasterMat trait add the 'forecast' method to PredictorMat subclasses
facilitating the adaption of predictive modeling techniques such as Regression
for use in forecasting, viz. Regression4TS.
Note: for forecasting, cross-validation needs to be of the rolling-validation form.
- See also
the 'crossValidate' method in
RollingValidation
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- abstract def forecast(xe: MatriD, t: Int, h: Int = 1): Double
Produce a forecast for 'h' steps ahead into the future from current time 't'.
Produce a forecast for 'h' steps ahead into the future from current time 't'.
- xe
the relevant (optionally expanded) input/data matrix
- t
the "current" time to be forecasted, e.g., h = 1 => current, h = 2 => future
- h
the forecasting horizon, number of steps ahead to produce forecast
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- def forecastAll(xe: MatriD = null, h: Int = 1): VectoD
Forecast values for all time points using 1 through 'h'-steps ahead forecasts.
Forecast values for all time points using 1 through 'h'-steps ahead forecasts. Return a vector of forecasts for all time points.
- xe
the relevant (optionally expanded) input/data matrix
- h
the forecasting horizon, number of steps ahead to produce forecasts
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