g13ahf produces forecasts of a time series, given a time series model which has already been fitted to the time series using g13aeforg13aff. The original observations are not required, since g13ahf uses as input either the original state set produced by g13aeforg13aff or the state set updated by a series of new observations using g13agf. Standard errors of the forecasts are also provided.
On entry: the orders vector of the ARIMA model, in the usual notation.
if , ;
if , .
4: – Real (Kind=nag_wp) arrayInput
On entry: the estimates of the values of the parameters, the values of the parameters, the values of the parameters and the values of the parameters which specify the model and which were output originally by g13aeforg13aff.
5: – IntegerInput
On entry: the number of , , and parameters in the model.
6: – Real (Kind=nag_wp)Input
On entry: , the value of the model constant. This will have been output by g13aeforg13aff.
7: – Real (Kind=nag_wp)Input
On entry: , the residual variance associated with the model.
If g13aff was used to estimate the model, rms should be set to , where s and ndf were output by g13aff.
If g13aef was used to estimate the model, rms should be set to , where s and were output by g13aef.
8: – IntegerInput
On entry: , the required number of forecasts.
9: – Real (Kind=nag_wp) arrayOutput
On exit: nfv forecast values relating to the original undifferenced series.
10: – Real (Kind=nag_wp) arrayOutput
On exit: the standard errors associated with each of the nfv forecast values in fva.
11: – Real (Kind=nag_wp) arrayWorkspace
12: – IntegerInput
On entry: the dimension of the array wa as declared in the (sub)program from which g13ahf is called.
13: – IntegerInput/Output
On entry: ifail must be set to , or to set behaviour on detection of an error; these values have no effect when no error is detected.
A value of causes the printing of an error message and program execution will be halted; otherwise program execution continues. A value of means that an error message is printed while a value of means that it is not.
If halting is not appropriate, the value or is recommended. If message printing is undesirable, then the value is recommended. Otherwise, the value is recommended. When the value or is used it is essential to test the value of ifail on exit.
On exit: unless the routine detects an error or a warning has been flagged (see Section 6).
6Error Indicators and Warnings
If on entry or , explanatory error messages are output on the current error message unit (as defined by x04aaf).