Waichler, Scott R
2005-Jun-14 17:38 UTC
[R] using forecast() in dse2 with an ARMA model having a trend component
(My apologies if this is a repeated posting. I couldn't find any trace
of my previous attempt in the archive.)
I'm having trouble with forecast() in the dse2 package. It works fine
for me on a model without a trend, but gives me NaN output for the
forecast values when using a model with a trend. An example:
# Set inputs and outputs for the ARMA model fit and test periods
arma.fit.input <- c(105.3332, 105.3573, 105.3113, 105.1493, 105.1209,
105.2111, 104.9161,
105.3654, 105.4682, 105.6789, 105.6297, 106.0155,
105.8454, 105.4322,
105.6062, 106.0739, 106.1109, 105.4470, 104.9739,
105.3427, 105.4305,
105.2563, 104.8501, 105.0358, 105.2827, 104.8977)
arma.fit.output <- c(106.0376, 106.0514, 106.0716, 106.0570, 106.0442,
106.0414, 106.0375,
106.0169, 106.0268, 106.0670, 106.1169, 106.1544,
106.1898, 106.2252,
106.2605, 106.2959, 106.3324, 106.3974, 106.3460,
106.2357, 106.1897,
106.1811, 106.1556, 106.1130, 106.0805, 106.0791)
arma.pred.input <- c(104.9916, 104.8207, 104.8936, 104.8767, 104.9435,
104.8885, 104.9217,
104.9029, 104.9508, 105.0065, 105.0557, 105.1982,
105.3392, 105.4007,
105.6212, 105.5979, 105.2410, 105.4832, 105.8735,
105.5944, 105.1063,
104.9809, 105.0821, 104.9362, 105.3037, 105.2322)
arma.pred.output <- c(106.0528, 106.0293, 106.0053, 105.9850, 105.9697,
105.9604, 105.9509,
105.9430, 105.9357, 105.9314, 105.9333, 105.9420,
105.9640, 105.9994,
106.0290, 106.0855, 106.1265, 106.1197, 106.1245,
106.1893, 106.2118,
106.1503, 106.0883, 106.0511, 106.0194, 106.0221)
# Set TSdata object
arma.fit.TSdata <- TSdata(input = arma.fit.input, output arma.fit.output)
# Fit the model
arma.model.without.trend <- estVARXls(arma.fit.TSdata, max.lag=1,
trend=F)
arma.model.with.trend <- estVARXls(arma.fit.TSdata, max.lag=1,
trend=T)
# Apply the model for the test period
arma.pred.TSdata <- TSdata(input = arma.pred.input, output
arma.pred.output[1:2]) arma.pred.without.trend <-
forecast(TSmodel(arma.model.without.trend), arma.pred.TSdata)
arma.pred.with.trend <- forecast(TSmodel(arma.model.with.trend),
arma.pred.TSdata)
The results:> arma.pred.without.trend$forecast[[1]][,1]
[1] 106.0038 105.9789 105.9605 105.9396 105.9224 105.9052 105.8926
105.8849 [9] 105.8812 105.8880 105.9043 105.9240 105.9579 105.9878
105.9901 106.0095 [17] 106.0555 106.0782 106.0644 106.0427 106.0297
106.0072 106.0126 106.0125> arma.pred.with.trend$forecast[[1]][,1]
[1] 5.76056e+228 NaN NaN NaN NaN
[6] NaN NaN NaN NaN NaN
[11] NaN NaN NaN NaN NaN
[16] NaN NaN NaN NaN NaN
[21] NaN NaN NaN NaN
I read help on this function and the PDF manuals but can't see what I
might be missing.
Any ideas?
Thanks, Sott Waichler
Pacific Northwest National Laboratory
scott.waichler at pnl.gov
Paul Gilbert
2005-Jun-14 19:10 UTC
[R] using forecast() in dse2 with an ARMA model having a trend component
Scott This works for me: > arma.pred.without.trend$forecast[[1]][,1] [1] 106.0038 105.9789 105.9605 105.9396 105.9224 105.9052 105.8926 105.8849 [9] 105.8812 105.8880 105.9043 105.9240 105.9579 105.9878 105.9901 106.0095 [17] 106.0555 106.0782 106.0644 106.0427 106.0297 106.0072 106.0126 106.0125 > arma.pred.with.trend$forecast[[1]][,1] [1] 101.49566 97.46626 93.89069 90.70991 87.88602 85.37563 83.14843 [8] 81.17338 79.42193 77.87562 76.51150 75.30371 74.24589 73.30438 [15] 72.44303 71.69453 71.05658 70.47036 69.91559 69.41396 68.97527 [22] 68.57536 68.24555 67.94755 There was a bug that may be related to this fixed in the version dse_2005.4-1, which has been on CRAN for a month or so. The above result was actually with my working copy, but I don't recall any more recent changes that would affect this. If you actually have the 2005.4-1 version and are still having this problem then please let me know and I will check more carefully. (In that case, OS details would be helpful too.) Paul Gilbert Waichler, Scott R wrote:>(My apologies if this is a repeated posting. I couldn't find any trace >of my previous attempt in the archive.) > >I'm having trouble with forecast() in the dse2 package. It works fine >for me on a model without a trend, but gives me NaN output for the >forecast values when using a model with a trend. An example: > ># Set inputs and outputs for the ARMA model fit and test periods >arma.fit.input <- c(105.3332, 105.3573, 105.3113, 105.1493, 105.1209, >105.2111, 104.9161, > 105.3654, 105.4682, 105.6789, 105.6297, 106.0155, >105.8454, 105.4322, > 105.6062, 106.0739, 106.1109, 105.4470, 104.9739, >105.3427, 105.4305, > 105.2563, 104.8501, 105.0358, 105.2827, 104.8977) > >arma.fit.output <- c(106.0376, 106.0514, 106.0716, 106.0570, 106.0442, >106.0414, 106.0375, > 106.0169, 106.0268, 106.0670, 106.1169, 106.1544, >106.1898, 106.2252, > 106.2605, 106.2959, 106.3324, 106.3974, 106.3460, >106.2357, 106.1897, > 106.1811, 106.1556, 106.1130, 106.0805, 106.0791) > >arma.pred.input <- c(104.9916, 104.8207, 104.8936, 104.8767, 104.9435, >104.8885, 104.9217, > 104.9029, 104.9508, 105.0065, 105.0557, 105.1982, >105.3392, 105.4007, > 105.6212, 105.5979, 105.2410, 105.4832, 105.8735, >105.5944, 105.1063, > 104.9809, 105.0821, 104.9362, 105.3037, 105.2322) >arma.pred.output <- c(106.0528, 106.0293, 106.0053, 105.9850, 105.9697, >105.9604, 105.9509, > 105.9430, 105.9357, 105.9314, 105.9333, 105.9420, >105.9640, 105.9994, > 106.0290, 106.0855, 106.1265, 106.1197, 106.1245, >106.1893, 106.2118, > 106.1503, 106.0883, 106.0511, 106.0194, 106.0221) > ># Set TSdata object >arma.fit.TSdata <- TSdata(input = arma.fit.input, output >arma.fit.output) > ># Fit the model >arma.model.without.trend <- estVARXls(arma.fit.TSdata, max.lag=1, >trend=F) >arma.model.with.trend <- estVARXls(arma.fit.TSdata, max.lag=1, >trend=T) > ># Apply the model for the test period >arma.pred.TSdata <- TSdata(input = arma.pred.input, output >arma.pred.output[1:2]) arma.pred.without.trend <- >forecast(TSmodel(arma.model.without.trend), arma.pred.TSdata) >arma.pred.with.trend <- forecast(TSmodel(arma.model.with.trend), >arma.pred.TSdata) > >The results: > > >>arma.pred.without.trend$forecast[[1]][,1] >> >> > [1] 106.0038 105.9789 105.9605 105.9396 105.9224 105.9052 105.8926 >105.8849 [9] 105.8812 105.8880 105.9043 105.9240 105.9579 105.9878 >105.9901 106.0095 [17] 106.0555 106.0782 106.0644 106.0427 106.0297 >106.0072 106.0126 106.0125 > > >>arma.pred.with.trend$forecast[[1]][,1] >> >> > [1] 5.76056e+228 NaN NaN NaN NaN > [6] NaN NaN NaN NaN NaN >[11] NaN NaN NaN NaN NaN >[16] NaN NaN NaN NaN NaN >[21] NaN NaN NaN NaN > >I read help on this function and the PDF manuals but can't see what I >might be missing. >Any ideas? > >Thanks, Sott Waichler >Pacific Northwest National Laboratory >scott.waichler at pnl.gov > >______________________________________________ >R-help at stat.math.ethz.ch mailing list >https://stat.ethz.ch/mailman/listinfo/r-help >PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html > >