tswge (version 2.1.0)

fore.glambda.wge: Forecast using a G(lambda) model

Description

Find forecasts using a specified G(lambda) model

Usage

fore.glambda.wge(data.orig,lambda=0,offset=60,phi=0,h=0,n.ahead=10,lastn=TRUE,plot=TRUE)

Value

f.ar

Forecasts using AR model fit to data in original time

f.glam

Forecasts using AR model fit to the dual and then reinterpolated

Arguments

data.orig

Time series data in the original time scale

lambda

The value of lambda under the Box-Cox time transformation with parameter lambda.

offset

Offset (or shift) value in the G(lambda) model.

phi

Coefficients of the AR component of the AR model fit to the dual data

h

Value of h which will be calculated to produce the desired number of forecasts in the original time scale

n.ahead

Number of values to forecast

lastn

If lastn=TRUE then the last n.ahead values are forecast. Otherwise, if lastn=FALSE the next n.ahead values are forecast

plot

If plot=TRUE then plots of the data and forecasts are plotted

Author

Wayne Woodward

Details

Forecasts for an AR model fit to the data in the original time scale are also calculated and optionally plotted

References

Applied Time Series Analysis with R, second edition by Woodward, Gray, and Elliott

Examples

data(fig13.2c)
fore.glambda.wge(fig13.2c,lambda=-.4,offset=63,phi=c(0.93,-0.32,-0.15,-0.15,-0.17),n.ahead=30)