forecast.Arima

From forecast v3.07 by Rob Hyndman

Forecasting using ARIMA or ARFIMA 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, lambda=object$lambda, ...)
## S3 method for class 'ar':
forecast(object, h=10, level=c(80,95), fan=FALSE, lambda=NULL, ...)
## S3 method for class 'fracdiff':
forecast(object, h=10, level=c(80,95), fan=FALSE, lambda=object$lambda, ...)

Arguments

object: An object of class "Arima", "ar" or "fracdiff". Usually the result of a call to arima, auto.arima,
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).
lambda: Box-Cox transformation parameter. Ignored if NULL. Otherwise, forecasts back-transformed via an inverse Box-Cox transformation.
...: Other arguments.

Details

For Arima or ar objects, the function calls predict.Arima or predict.ar and constructs an object of class "forecast" from the results. For fracdiff objects, the calculations are all done within forecast.fracdiff using the equations given by Peiris and Perera (1988).

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)

References

Peiris, M. & Perera, B. (1988), On prediction with fractionally differenced ARIMA models, Journal of Time Series Analysis, 9(3), 215-220.

Examples

fit <- Arima(WWWusage,c(3,1,0))
plot(forecast(fit))

x <- fracdiff.sim( 100, ma=-.4, d=.3)$series
fit <- arfima(x)
plot(forecast(fit,h=30))

Documentation reproduced from package forecast, version 3.07, License: GPL (>= 2)

Community examples

Looks like there are no examples yet.