forecast (version 7.1)

rwf: Random Walk Forecast

Description

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

Usage

rwf(x, h=10, drift=FALSE, level=c(80,95), fan=FALSE, lambda=NULL, biasadj=FALSE)

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(51,99,by=3). This is suitable for fan plots.
lambda
Box-Cox transformation parameter. Ignored if NULL. Otherwise, forecasts back-transformed via an inverse Box-Cox transformation.
biasadj
Use adjusted back-transformed mean for Box-Cox transformations. If TRUE, point forecasts and fitted values are mean forecast. Otherwise, these points can be considered the median of the forecast densities.

Value

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:
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 as object).
residuals
Residuals from the fitted model. That is x minus fitted values.
fitted
Fitted values (one-step forecasts)

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.

See Also

Arima, meanf

Examples

Run this code
plot(gold.fcast)

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