forecast.Arima

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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.

See Also

predict.Arima, predict.ar, auto.arima, Arima, arima, ar, arfima.

Aliases
  • forecast.Arima
  • forecast.ar
  • forecast.fracdiff
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 3.12, License: GPL (>= 2)

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