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Mar 26th, 2017
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  1. lower <- c()
  2. upper <- c()
  3. c_j <- alpha+beta*seq(1,5)
  4. v <- 0
  5.  
  6. for (i in seq(1, 6)){
  7. if(i == 1){lower = c(lower,
  8. qnorm(0.025, mean = l_t[length(l_t)] + i*b_t[length(b_t)],
  9. sd = sqrt(sigma2)))
  10. upper = c(upper,
  11. qnorm(0.975, mean = l_t[length(l_t)] + i*b_t[length(b_t)],
  12. sd = sqrt(sigma2)))
  13. }
  14. else{
  15.  
  16. v = sigma2*(1 + sum(c_j[1:i-1]^2))
  17.  
  18. lower = c(lower,
  19. qnorm(0.025, mean = l_t[length(l_t)] + i*b_t[length(b_t)],
  20. sd = sqrt(v)))
  21. upper = c(upper,
  22. qnorm(0.975, mean = l_t[length(l_t)] + i*b_t[length(b_t)]
  23. sd = sqrt(v)))
  24. }
  25. }
  26.  
  27. forecast_analytic1 <- cbind(prediction, lower, upper)
  28. colnames(forecast_analytic1) <- c('Forecast', 'Lower', 'Upper')`
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