Forecasting time series

forecast is a generic function for forecasting from time series or time series models. The function invokes particular methods which depend on the class of the first argument. For example, the function forecast.Arima makes forecasts based on the results produced by arima. The function forecast.ts makes forecasts using exponential smoothing state space models.

## S3 method for class 'ts':
forecast(object, h, level=c(80,95), fan=FALSE, ...)
a time series or time series model for which forecasts are required
Number of periods for forecasting
Confidence level for prediction intervals.
If TRUE, level is set to seq(50,99,by=1). This is suitable for fan plots.
Additional arguments affecting the forecasts produced. forecast.ts passes these to forecast.ets

The default behaviour is to use a model estimated using ets.


  • 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 various useful features of the value returned by forecast$model. 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

Other functions which return objects of class "forecast" are forecast.ets, forecast.Arima, forecast.HoltWinters, forecast.StructTS, meanf, rwf, splinef, thetaf, croston, ses, holt, hw.

  • forecast
  • forecast.default
  • forecast.ts
  • print.forecast
  • summary.forecast
Documentation reproduced from package forecast, version 3.03, License: GPL (>= 2)

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