simple forecast with AR model
This function performs a forecast, h-periods-ahead, supposing the process follows an AR process. The best number p of lags is detrmined by the AIC principle, with a simplified formula. Once the best number of lags is determined, the algorithm performs a forecast, choosing an iterative o direct method.
The iterative method performs a first forecast for the next period, then uses this forecast as the last observation of the time series, and perform again a forecast using this last informtion. Simple OLS is used to find parameters of the forecast.
The direct method performs an OLS regression of the variable into its h-th lags, thus it does not uses "new" information, but the variable is regressed directly from its past values.
Cite As
raffaele (2024). simple forecast with AR model (https://www.mathworks.com/matlabcentral/fileexchange/52010-simple-forecast-with-ar-model), MATLAB Central File Exchange. Retrieved .
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1.0.0.0 |