statsmodels.tsa.tests.test_arima.Arma.forecast2

Arma.forecast2(step_ahead=1, start=None, end=None, endog=None)

rolling h-period ahead forecast without reestimation, 1 period ahead only

in construction: uses loop to go over data and not sure how to get (finite) forecast polynomial for h-step

Notes

just the idea: To improve performance with expanding arrays, specify total period by endog and the conditional forecast period by step_ahead

This should be used by/with results which should contain predicted error or noise. Could be either a recursive loop or lfilter with a h-step ahead forecast filter, but then I need to calculate that one. ???

further extension: allow reestimation option

question: return h-step ahead or range(h)-step ahead ?