I am having problems with forward prediction using the output of the Basic Structural Model from StructTS. The following snippet illustrates the problem:
t_end <- 139 nahead <- 20 data(AirPassengers) ap <- log10(AirPassengers)-2 fit <- StructTS(ts(ap[1:t_end], freq=12), type="BSM") p <- stats:::predict.StructTS(fit, n.ahead=nahead) plot(1:t_end, ap[1:t_end], xlim=c(0,t_end+nahead), type="l", ylim=c(0,1.2)) points((t_end+1):(t_end+nahead), p$pred[1:nahead], type="l", col=2) Varying the length of the time series, I find for values of the variable t_end > 139, the forward prediction looks reasonable. For values t_end <= 139 it does not. Looking through the R source code for StructTS, I find a factor of 100 that I can't account for at about line 99: vx <- var(x, na.rm=TRUE)/100 If I change this line to: vx <- var(x, na.rm=TRUE) I get good forward predictions with the above code, even if the time series is short. Is there a problem with the above code snippet, or is this factor of 100 misplaced, or is there something else wrong? Thanks, Dave David Crary Applied Research Associates, Inc. Arlington, VA USA ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
