thetaf

0th

Percentile

Theta method forecast

Returns forecasts and prediction intervals for a theta method forecast.

Keywords
ts
Usage
thetaf(y, h=ifelse(frequency(y)>1, 2*frequency(y), 10), level=c(80,95), fan=FALSE, x=y)
Arguments
y
a numeric vector or time series
h
Number of periods for forecasting
level
Confidence levels for prediction intervals.
fan
If TRUE, level is set to seq(51,99,by=3). This is suitable for fan plots.
x
Deprecated. Included for backwards compatibility.
Details

The theta method of Assimakopoulos and Nikolopoulos (2000) is equivalent to simple exponential smoothing with drift. This is demonstrated in Hyndman and Billah (2003).

The series is tested for seasonality using the test outlined in A&N. If deemed seasonal, the series is seasonally adjusted using a classical multiplicative decomposition before applying the theta method. The resulting forecasts are then reseasonalized.

Prediction intervals are computed using the underlying state space model.

More general theta methods are available in the forecTheta package.

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: is a list containing at least the following elements:

References

Assimakopoulos, V. and Nikolopoulos, K. (2000). The theta model: a decomposition approach to forecasting. International Journal of Forecasting 16, 521-530.

Hyndman, R.J., and Billah, B. (2003) Unmasking the Theta method. International J. Forecasting, 19, 287-290.

See Also

arima, meanf, rwf, ses

Aliases
  • thetaf
Examples
plot(nile.fcast)
Documentation reproduced from package forecast, version 7.2, License: GPL (>= 2)

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