statsmodels.tsa.statespace.dynamic_factor.DynamicFactorResults.forecast¶
-
DynamicFactorResults.forecast(steps=
1, signal_only=False, **kwargs)¶ Out-of-sample forecasts
- Parameters:¶
- steps
int,str,ordatetime,optional If an integer, the number of steps to forecast from the end of the sample. Can also be a date string to parse or a datetime type. However, if the dates index does not have a fixed frequency, steps must be an integer. Default is 1.
- signal_onlybool,
optional Whether to compute forecasts of only the “signal” component of the observation equation. Default is False. For example, the observation equation of a time-invariant model is \(y_t = d + Z \alpha_t + \varepsilon_t\), and the “signal” component is then \(Z \alpha_t\). If this argument is set to True, then forecasts of the “signal” \(Z \alpha_t\) will be returned. Otherwise, the default is for forecasts of \(y_t\) to be returned.
- **kwargs
Additional arguments may required for forecasting beyond the end of the sample. See FilterResults.predict for more details.
- steps
- Returns:¶
- forecastarray_like
Out-of-sample forecasts (Numpy array or Pandas Series or DataFrame, depending on input and dimensions). Dimensions are (steps x k_endog).
See also
predictIn-sample predictions and out-of-sample forecasts.
get_forecastOut-of-sample forecasts and results including confidence intervals.
get_predictionIn-sample predictions / out-of-sample forecasts and results including confidence intervals.