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 toarima
,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 ofxreg
. - level
- Confidence level for prediction intervals.
- fan
- If
TRUE
, level is set toseq(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 functionsummary
is used to obtain and print a summary of the results, while the functionplot
produces a plot of the forecasts and prediction intervals. The generic accessor functionsfitted.values
andresiduals
extract useful features of the value returned byforecast.Arima
. An object of class "forecast
" is a list containing at least the following elements: model A list containing information about the fitted model method The name of the forecasting method as a character string mean Point forecasts as a time series lower Lower limits for prediction intervals upper Upper limits for prediction intervals level The confidence values associated with the prediction intervals x The original time series (either object
itself or the time series used to create the model stored asobject
).residuals Residuals from the fitted model. That is x minus fitted values. fitted Fitted 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.
See Also
predict.Arima
, predict.ar
, auto.arima
, Arima
,
arima
, ar
, arfima
.
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))
Community examples
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