forecast.Arima

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Forecasting using ARIMA models

Returns forecasts and other information for univariate ARIMA models.

Keywords
ts
Usage
## S3 method for class 'Arima':
forecast(object, h=ifelse(object$arma[5]>1,2*object$arma[5],10),
    level=c(80,95), fan=FALSE, xreg=NULL,...)
## S3 method for class 'ar':
forecast(object, h=10, level=c(80,95), fan=FALSE, ...)
Arguments
object
An object of class "Arima" or "ar". Usually the result of a call to arima or ar.
h
Number of periods for forecasting. If xreg is used, h is ignored and the number of forecast periods is set to the number of rows of xreg.
level
Confidence level for prediction intervals.
fan
If TRUE, level is set to seq(50,99,by=1). This is suitable for fan plots.
xreg
Future values of an regression variables (for class Arima objects only).
...
Other arguments.
Details

This function calls predict.arima or predict.ar and constructs an object of class "forecast" from the results.

Value

  • An object of class "forecast". The function summary is used to obtain and print a summary of the results, while the function plot produces a plot of the forecasts and prediction intervals. The generic accessor functions fitted.values and residuals extract useful features of the value returned by forecast.Arima. An object of class "forecast" is a list containing at least the following elements:
  • modelA list containing information about the fitted model
  • methodThe name of the forecasting method as a character string
  • meanPoint forecasts as a time series
  • lowerLower limits for prediction intervals
  • upperUpper limits for prediction intervals
  • levelThe confidence values associated with the prediction intervals
  • xThe original time series (either object itself or the time series used to create the model stored as object).
  • residualsResiduals from the fitted model. That is x minus fitted values.
  • fittedFitted values (one-step forecasts)

See Also

predict.arima, ar, arima, rwf.

Aliases
  • forecast.Arima
  • forecast.ar
Examples
fit <- Arima(WWWusage,c(3,1,0))
plot(forecast(fit))
Documentation reproduced from package forecast, version 2.01, License: GPL (>= 2)

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