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假设我在R中具有以下“for”循环,以从一组四个ARMA模型中的模型重新生成滚动预测。我建立了基于一前一后的主题代码(请参阅此链接:https://stats.stackexchange.com/questions/208985/selecting-arima-order-using-rolling-forecast)For循环中的排序模型
h <- 1
train <- window(USDlogreturns, end=1162)
test <- window(USDlogreturns, start=1163)
n <- length(test) - h + 1
fit1 <- Arima(train, order=c(0,0,0), include.mean=TRUE, method="ML")
fit2 <- Arima(train, order=c(0,0,1), include.mean=TRUE, method="ML")
fit3 <- Arima(train, order=c(1,0,0), include.mean=TRUE, method="ML")
fit4 <- Arima(train, order=c(1,0,1), include.mean=TRUE, method="ML")
fc1 <- ts(numeric(n), start=1163+1, freq=1)
fc2 <- ts(numeric(n), start=1163+1, freq=1)
fc3 <- ts(numeric(n), start=1163+1, freq=1)
fc4 <- ts(numeric(n), start=1163+1, freq=1)
for(i in 1:n)
{
x <- window(USDlogreturns, end=1162 + i)
refit1 <- Arima(x, model=fit1, include.mean=TRUE, method="ML")
refit2 <- Arima(x, model=fit2, include.mean=TRUE, method="ML")
refit3 <- Arima(x, model=fit3, include.mean=TRUE, method="ML")
refit4 <- Arima(x, model=fit4, include.mean=TRUE, method="ML")
fc1[i] <- forecast(refit1, h=h)$mean[h]
fc2[i] <- forecast(refit2, h=h)$mean[h]
fc3[i] <- forecast(refit3, h=h)$mean[h]
fc4[i] <- forecast(refit4, h=h)$mean[h]
}
result.fc<-cbind(fc1, fc2, fc3, fc4)
下面的代码计算各种预测的准确性措施(见本链接,这些措施的描述:http://127.0.0.1:15135/library/forecast/html/accuracy.html)。
accuracy(fc1, test)[,1:5]
accuracy(fc2, test)[,1:5]
accuracy(fc3, test)[,1:5]
accuracy(fc4, test)[,1:5]
我的问题是:
我怎么能告诉循环由五个预报准确率的措施,五个不同的矩阵作为上述排名的四个模型估计?
谢谢你的帮助。
正是我想要得到的。谢谢! – msmna93