mpiktas / midasr

R package for mixed frequency time series data analysis.
http://mpiktas.github.io/midasr/
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Clarifications for select_and_forecast #94

Open guivivi opened 2 months ago

guivivi commented 2 months ago

Hello. I am opening this issue because I have some questions regarding select_and_forecast(). In particular, I am trying to understand the code from the examples of its help page. In that case, the output object is called cbfc. Let us focus on cbfc$forecasts[[1]]. These are my questions:

  1. What is the difference between the elements $forecast and $avgforecast?

  2. The matrix $avgforecast has as names the fweights, but the matrix $forecast has not. Should I infer that the columns of $forecast also refer to fweights?

  3. Do $forecast and $avgforecast represent point predictions? Are there values for the prediction intervals?

I would appreciate any clarification. Many thanks in advance.