lps {BGVAR} | R Documentation |
Calculates log predictive scores using the normal distribution as approximation for the predictive density. The function calculates LPS for the marginal densities and not for the joint predictive distribution (of all variables in the GVAR system). If the forecast horizon is greater than 1 (fhorz
in fcast
), LPS is the sum of single LPS over the forecast horizon per variable.
lps(fcastM)
fcastM |
An object fitted using |
lps.scores |
A vector that returns the log predictive scores. |
Martin Feldkircher
See also fcast
library(BGVAR) data(monthlyData) model.sims<-bgvar(Data=new.data,W=W,saves=100,burns=100,plag=1,hyperparm=NULL,Cpu=1,prior="SIMS",save_thin=1,eigen=TRUE,logfile=FALSE,stats=TRUE) fcastM<-fcast(model.sims,h=5,fhorz=8) lps(fcastM)