ARIMAANN (version 0.1.0)

ARIMAANN: ARIMA-ANN hybrid model fitting

Description

The ARIMAANN function fit ARIMA-ANN hybrid model for time series data.

Usage

ARIMAANN(data,h)

Value

Test_Result

Checking the suitability of data for hybrid modelling

ARIMA coefficients

Coefficients of the fitted ARIMA

pvalues

pvalues of the fitted ARIMA model

ANN Summary

Summary of the fitted ANN model on residuals obtained from the fitted ARIMA model

MAPE

Mean Absolute Percentage Error (MAPE) of the fitted hybrid model

MSE

Mean Square Error (MSE) of fitted hybrid model

fitted

Fitted values of hybrid model

forecasted.values

h step ahead forecasted values employing hybrid model

Arguments

data

Input univariate time series (ts) data.

h

The forecast horizon.

Author

Ramasubramanian V., Mrinmoy Ray

Details

This package allows you to fit the ARIMA-ANN hybrid model.

References

Zhang, G. P.Time series forecasting using a hybrid ARIMA and neural network model Neurocomputing, 50 (2003), pp. 159-175.

See Also

auto.arima, nnetar

Examples

data=lynx
ARIMAANN(data,5)