forecast.bats: Forecasting using BATS and TBATS models

Description

Forecasts h steps ahead with a BATS model. Prediction intervals are also produced.

Usage

# S3 method for bats
forecast(object, h, level = c(80, 95), fan = FALSE, biasadj = NULL, ...)
# S3 method for tbats
forecast(
  object,
  h,
  level = c(80, 95),
  fan = FALSE,
  simulate = FALSE,
  bootstrap = FALSE,
  innov = NULL,
  npaths = 5000,
  biasadj = NULL,
  ...
)

Value

An object of class forecast.

Arguments

object: An object of class bats. Usually the result of a call to bats().
h: Number of periods for forecasting. Default value is twice the largest seasonal period (for seasonal data) or ten (for non-seasonal data).
level: Confidence levels for prediction intervals.
fan: If TRUE, level is set to seq(51, 99, by = 3). This is suitable for fan plots.
biasadj: Use adjusted back-transformed mean for Box-Cox transformations. If transformed data is used to produce forecasts and fitted values, a regular back transformation will result in median forecasts. If biasadj is TRUE, an adjustment will be made to produce mean forecasts and fitted values.
...: Other arguments are ignored.
simulate: If TRUE, prediction intervals are produced by simulation rather than using analytic formulae. Errors are assumed to be normally distributed.
bootstrap: If TRUE, then prediction intervals are produced by simulation using resampled errors (rather than normally distributed errors). Ignored if innov is not NULL.
innov: Optional matrix of future innovations to be used in simulations. Ignored if simulate = FALSE. If provided, this overrides the bootstrap argument. The matrix should have h rows and npaths columns.
npaths: Number of sample paths used in computing simulated prediction intervals.

forecast class

An object of class forecast is a list usually 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.
residuals: Residuals from the fitted model. For models with additive errors, the residuals will be x minus the fitted values.
fitted: Fitted values (one-step forecasts)

The function summary can be used to obtain and print a summary of the results, while the functions plot and autoplot produce plots of the forecasts and prediction intervals. The generic accessors functions fitted.values and residuals extract various useful features from the underlying model.

Author

Slava Razbash and Rob J Hyndman

References

De Livera, A.M., Hyndman, R.J., & Snyder, R. D. (2011), Forecasting time series with complex seasonal patterns using exponential smoothing, Journal of the American Statistical Association, 106(496), 1513-1527.

Examples

Run this code


if (FALSE) {
fit <- bats(USAccDeaths)
plot(forecast(fit))

taylor.fit <- bats(taylor)
plot(forecast(taylor.fit))
}

Run the code above in your browser using DataLab