astsa (version 1.0)

sarima.for: ARIMA Forecasting

Description

ARIMA forecasting - this is a front end to R's predict.Arima.

Usage

sarima.for(xdata, n.ahead, p, d, q, P = 0, D = 0, Q = 0, S = -1, 
            tol = sqrt(.Machine$double.eps), no.constant = FALSE)

Arguments

xdata

univariate time series

n.ahead

forecast horizon (number of periods)

p

AR order

d

difference order

q

MA order

P

SAR order; use only for seasonal models

D

seasonal difference; use only for seasonal models

Q

SMA order; use only for seasonal models

S

seasonal period; use only for seasonal models

tol

controls the relative tolerance (reltol) used to assess convergence. The default is sqrt(.Machine$double.eps), the R default.

no.constant

Controls whether or not a constant is included in the model. In particular, if there is no differencing (d = 0 and D = 0) the mean estimate is returned. If there is differencing of order one (either d = 1 or D = 1, but not both), a constant term is includ

Value

• pred
  the forecasts
• se
  the prediction (standard) errors

Details

For example, sarima.for(x,5,1,0,1) will forecast five time points ahead for an ARMA(1,1) fit to x. The output prints the forecasts and the standard errors of the forecasts, and supplies a graphic of the forecast with +/- 2 prediction error bounds.

References

http://www.stat.pitt.edu/stoffer/tsa3/

Examples

sarima.for(log(AirPassengers),12,0,1,1,0,1,1,12)