Prediction

This function predicts the next ahead states and data points based on an fHMM_model object.

Usage

# S3 method for fHMM_model
predict(object, ahead = 5, alpha = 0.05, ...)

Arguments

object

An object of class fHMM_model.

ahead

A positive integer, the forecast horizon.

alpha

A numeric between 0 and 1, the alpha level for the confidence interval. By default, alpha = 0.05, which computes a 95% confidence interval.

...

Ignored.

Value

A data.frame of state probabilities and data point estimates along with confidence intervals.

Examples

predict(dax_model_3t)
#>   state_1 state_2 state_3       lb estimate      ub
#> 1 0.97511 0.02489 0.00000 -0.01072  0.00123 0.01318
#> 2 0.95133 0.04854 0.00013 -0.01100  0.00119 0.01339
#> 3 0.92862 0.07099 0.00039 -0.01127  0.00116 0.01359
#> 4 0.90693 0.09232 0.00075 -0.01154  0.00112 0.01378
#> 5 0.88621 0.11257 0.00123 -0.01179  0.00109 0.01397