Reply To: Question about VARMA forecast

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Hi ozcanalp,

Sorry for the late reply.

The model that is passed to VARMAForecastOneStep should be a zero mean model. You can get the demeaned model easily by (following your code): varmaModel.getDemeanedModel(). Therefore, changing
“instance = new VARMAForecastOneStep(X_T, varmaModel);”
“instance = new VARMAForecastOneStep(X_T, varmaModel.getDemeanedModel());”

should solve your problem. And finally add the mean back to get the forecast of the original VARMA model.

Please let me know if there is anything else I can help.

Best wishes,
Ding Hao