Hi all,
I am fitting an ARMA(1,(1,4)) model.
y(t) = a*y(t-1) + e(t) + b1*e(t-1) + b4*e(t-4)
> arma1.14 <- arma(series, lag=list(ar=1, ma=c(1,4)),
+ include.intercept = F, qr.tol = 1e-07)
works fine:
Coefficient(s):
ar1 ma1 ma4
0.872 -0.445 0.331
I want to forecast 50 periods.
I could not find a 'predict' function for ARMA models.
I can use predict()
if I model an ARMA object as an ARIMA object:
i.e. ARIMA(1,0,1) for ARMA(1,1).
But I could not find a way to write
ARIMA(1,0,(1,4)) for ARMA(1,(1,4)).
Using arima(series,lag=list(ar=1, 0, ma=c(1,4)) , etc... )
does not work with ARIMA.
(Using 'seasonal = ...' won't do, either.)
Any clues would be greatly appreciated.
Thanks,
Joseph
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