R help - Mar 2010 - Arima forecasting

Hello everyone,

I'm doing some benchmark comparing Arima [1] and SVR on time series data.

I'm using an out-of-sample one-step-ahead prediction from Arima using
the "fitted" method [2].

Do someone know how to have a two-steps-ahead forecast timeseries from Arima?


Thanks,
Matteo Bertini

[1] http://robjhyndman.com/software/forecast
[2] AirPassengers example on page 5

Hi Matteo,

just use forecast.Arima() with h=2 to get forecasts up to 2 steps ahead. 
R will automatically use forecast.Arima() if you call forecast() with an 
Arima object.

library(forecast)
model <- auto.arima(AirPassengers)
forecast(model,h=2)

HTH,
Stephan


Matteo Bertini schrieb:
> Hello everyone,
> 
> I'm doing some benchmark comparing Arima [1] and SVR on time series
data.
> 
> I'm using an out-of-sample one-step-ahead prediction from Arima using
> the "fitted" method [2].
> 
> Do someone know how to have a two-steps-ahead forecast timeseries from
Arima?
> 
> 
> Thanks,
> Matteo Bertini
> 
> [1] http://robjhyndman.com/software/forecast
> [2] AirPassengers example on page 5
> 
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