CODEWITHSUNDEEP
rstate-space
adam.888
adam.888

Reputation: 7846

Using estimated state space parameters to forecast

I have a time series (ts) and used the MARSS package to create a state space model

fit = MARSS(ts)

giving the parameter estimates, the state estimates (fit$states) and their standard errors (fit$states.se)

But these estimates are just for the historic data series.

There is a great tutorial on how to produce these matrix models.

http://cran.r-project.org/web/packages/MARSS/vignettes/Quick_Start.pdf

But how can I use the historic model output matrices to make new matrix estimates and forecast 1,2,3 periods into the future?

Upvotes: 1

Views: 855

Answers (1)

slak
slak

Reputation: 11

A bit too late, but all you need to do to forecast is to input missing values at the end of the series and then MARSS will automatically fill those missings with the desired forecasts. Forecasting in state space models is equivalent to handling missing values...

Upvotes: 1

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