Computing Out-of-Sample predictive accuracy measures

Computes Out-of-Sample predictive accuracy measures for two or more objects of class mtar.

Usage

# S3 method for class 'mtar'
out_of_sample(
  ...,
  newdata,
  n.ahead = NULL,
  credible = 0.95,
  by.component = TRUE,
  FUN = mean
)

...: one or more objects of class mtar.
newdata: A data.frame containing future values of the threshold series (if included in the fitted model), the exogenous series (if included in the fitted model), and the realized values of the output series.
n.ahead: A positive integer specifying the number of steps ahead to forecast.
credible: An optional numeric value in \((0,1)\) specifying the level of the required prediction intervals. By default, credible is set to 0.95.
by.component: An optional logical argument. If TRUE, the predictive accuracy measures are computed separately for each component of the multivariate output series. By default, by.component is set to TRUE.
FUN: An optional function used to summarize the n.ahead values computed for each predictive accuracy measure. By default, FUN is set to mean.