Forecasts the residual value of a VAR realization given the white noise covariance matrix — forecastResidual • RMAWGEN

Forecasts the residual value of a VAR realization given the white noise covariance matrix

forecastResidual(var, xprev = NULL, B = NULL)

Arguments

var: A VAR model represented by a varest object as returned by getVARmodel or VAR
xprev: previous status of the random variable, in this case the "current instant"white-noise". Default is NULL and then randomly generated.
B: matrix of coefficients for the vectorial white-noise component

Value

a vector of values

See also

forecastEV,NewVAReventRealization

Author

Emanuele Cordano, Emanuele Eccel