mforecast

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Forecasting time series

mforecast is a class of objects for forecasting from multivariate time series or multivariate time series models. The function invokes particular methods which depend on the class of the first argument.

For example, the function forecast.mlm makes multivariate forecasts based on the results produced by tslm.

Usage
"forecast"(object, h=ifelse(frequency(object)>1, 2*frequency(object), 10), level=c(80,95), fan=FALSE, robust=FALSE, lambda = NULL, find.frequency = FALSE, allow.multiplicative.trend=FALSE, ...)
Arguments
object
a multivariate time series or multivariate time series model for which forecasts are required
h
Number of periods for forecasting
level
Confidence level for prediction intervals.
fan
If TRUE, level is set to seq(51,99,by=3). This is suitable for fan plots.
robust
If TRUE, the function is robust to missing values and outliers in object. This argument is only valid when object is of class mts.
lambda
Box-Cox transformation parameter.
find.frequency
If TRUE, the function determines the appropriate period, if the data is of unknown period.
allow.multiplicative.trend
If TRUE, then ETS models with multiplicative trends are allowed. Otherwise, only additive or no trend ETS models are permitted.
...
Additional arguments affecting the forecasts produced.
Value

mforecast".The function summary is used to obtain and print a summary of the results, while the function plot produces a plot of the multivariate forecasts and prediction intervals.The generic accessors functions fitted.values and residuals extract various useful features of the value returned by forecast$model.An object of class "mforecast" is a list usually containing at least the following elements: is a list usually containing at least the following elements:

See Also

Other functions which return objects of class "mforecast" are forecast.mlm, forecast.varest.

Aliases
  • mforecast
  • forecast.mts
  • print.mforecast
  • summary.mforecast
Documentation reproduced from package forecast, version 7.2, License: GPL (>= 2)

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