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- > kt
- [1] 16.63292944 17.10746185 16.03326222 16.24631736 14.67784276
- [6] 14.54126450 14.12032640 14.08797796 13.69164459 13.32990466
- [11] 13.15672641 12.57994701 12.50856702 12.49292845 11.91980041
- [16] 11.84854379 11.69906707 11.27068958 11.46658995 11.07480840
- [21] 11.71810389 10.24234202 9.98624154 9.69563628 8.77524312
- [26] 8.42607407 8.03839654 7.46459155 6.90364116 6.46802360
- [31] 6.18895143 5.66047744 5.06493622 4.87223437 4.47053611
- [36] 4.31558216 3.80968168 3.54183060 3.32698878 3.01142929
- [41] 2.61087797 2.16596582 1.84685422 1.73129589 1.44568725
- [46] 1.38868046 1.05136432 0.65361666 0.31751012 -0.06360237
- [51] -0.56454474 -0.78109888 -0.82625274 -0.81258738 -1.01088682
- [56] -0.83005175 -1.05284966 -0.88126429 -0.88002998 -0.73160603
- [61] -0.73800657 -0.82408653 -0.84909859 -0.86868214 -0.82202275
- [66] -0.67518149
- > ktF.fit <- auto.arima(kt, d=1, trace=T)
- ktF.for <- forecast(ktF.fit,h=horizonte,level=c(95))
- set.seed(1)
- ktF.coef <- rmvnorm(nsimul, ktF.fit$coef, ktF.fit$var.coef, method="chol")
- set.seed(1)
- NkF <- (horizonte+2)*nsimul
- normalkF <- matrix(rnorm(NkF,0,sqrt(ktF.fit$sigma2)),(horizonte+2),nsimul)
- ktF <- matrix(NA,(horizonte+4),nsimul)
- ktF[1,] <- ktF.fit$x[tiempo-2]
- ktF[2,] <- ktF.fit$x[tiempo-1]
- ktF[3,] <- ktF.fit$x[tiempo]
- for(i in 4:(horizonte+4)){
- for(j in 1:nsimul){
- ktF[i,j] <- ktF[i-1,j] +
- ktF.coef[j,4]*(1-ktF.coef[j,1]-ktF.coef[j,2]) + #drift
- ktF.coef[j,1]*(ktF[i-1,j]-ktF[i-2,j]) + #Ar(1)
- ktF.coef[j,2]*(ktF[i-2,j]-ktF[i-3,j]) + #Ar(2)
- normalkF[i-2,j] +
- ktF.coef[j,3]*normalkF[i-3,j] #MA(1)
- }
- }
- ktF1<-ktF[4:(horizonte+4),1:nsimul]
- ic.ktF<-matrix(NA,(horizonte+1),3)
- for(i in 1:(horizonte+1)){
- ic.ktF[i,]<-quantile(ktF1[i,],probs=c(0.025,0.5,0.975),
- type = 8,names=FALSE,na.rm=T)
- }
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