rwf

0th

Percentile

Random Walk Forecast

Returns forecasts and prediction intervals for a random walk with drift model applied to x.

Keywords
ts
Usage
rwf(x, h=10, drift=FALSE, level=c(80,95), fan=FALSE, lambda=NULL)
Arguments
x
a numeric vector or time series
h
Number of periods for forecasting
drift
Logical flag. If TRUE, fits a random walk with drift model.
level
Confidence levels for prediction intervals.
fan
If TRUE, level is set to seq(50,99,by=1). This is suitable for fan plots.
lambda
Box-Cox transformation parameter. Ignored if NULL. Otherwise, forecasts back-transformed via an inverse Box-Cox transformation.
Details

The random walk with drift model is $$Y_t=c + Y_{t-1} + Z_t$$ where $Z_t$ is a normal iid error. Forecasts are given by $$Y_n(h)=ch+Y_n$$. If there is no drift, the drift parameter c=0. Forecast standard errors allow for uncertainty in estimating the drift parameter.

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 rwf.

    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

arima, meanf

Aliases
  • rwf
Examples
gold.fcast <- rwf(gold[1:60],h=50)
plot(gold.fcast)
Documentation reproduced from package forecast, version 3.24, License: GPL (>= 2)

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