R help - Aug 2023 - time series transformation....

Dear Eric,
                 THanks for the reply...will this also work with arfima() ? What
if I want to fit a model like GARCH and friends?

THanking you,
Yours sincerely,
AKSHAY M KULKARNI
________________________________
From: Eric Berger <ericjberger at gmail.com>
Sent: Sunday, August 13, 2023 10:34 AM
To: akshay kulkarni <akshay_e4 at hotmail.com>
Cc: R help Mailing list <r-help at r-project.org>
Subject: Re: [R] time series transformation....

Hi Akshay,
The forecast package will do the BoxCox transform and automatically
backtransform the forecasts.
The package also handles xts objects.
For example, modifying the example from the help page of
forecast::forecast for Arima
> dt <- as.Date("2023-01-01") + 1:length(WWWusage)
> a <- xts(WWWusage, order.by=dt)
> fit1 <- Arima(a, c(3,1,0))
> fit2 <- Arima(a, lambda=0.5, c(3,1,0))  ## applies the Box-Cox transform
with lambda=0.5
> par(mfrow=c(1,2))
> plot(forecast(fit1))
> plot(forecast(fit2))
HTH,
Eric

p.s. RJH is the author/maintainer of the forecast package


On Sun, Aug 13, 2023 at 1:01?AM akshay kulkarni <akshay_e4 at hotmail.com>
wrote:
>
> dear members,
>                          I have a heteroscedastic time series which I want
to transform to make it homoscedastic by a box cox transformation. I am using
Otexts by RJ hyndman and George Athanopolous as my textbook. They discuss
transformation and also say the fpp3 and the fable package automatically back
transforms the point forecast. they also discuss the process which I find to be
very cumbersome. Is there any R package which automatically back transforms the
point forecast when I use xts objects ( RJH and GA use tsibble objects) with
arfima/arima in the forecast package?
>
> THanking you,
> Yours sincerely,
> AKSHAY M KULKARNI
>
>         [[alternative HTML version deleted]]
>
> ______________________________________________
> R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
	[[alternative HTML version deleted]]

Hi Akshay,
If you do
> help(package="forecast")
you will find that arfima is listed. Unfortunately, I don't see any
ARCH-type models there, but you should check out the help page
results.

Good luck,
Eric

On Mon, Aug 14, 2023 at 8:04?PM akshay kulkarni <akshay_e4 at hotmail.com>
wrote:
>
> Dear Eric,
>                  THanks for the reply...will this also work with arfima() ?
What if I want to fit a model like GARCH and friends?
>
> THanking you,
> Yours sincerely,
> AKSHAY M KULKARNI
> ________________________________
> From: Eric Berger <ericjberger at gmail.com>
> Sent: Sunday, August 13, 2023 10:34 AM
> To: akshay kulkarni <akshay_e4 at hotmail.com>
> Cc: R help Mailing list <r-help at r-project.org>
> Subject: Re: [R] time series transformation....
>
> Hi Akshay,
> The forecast package will do the BoxCox transform and automatically
> backtransform the forecasts.
> The package also handles xts objects.
> For example, modifying the example from the help page of
> forecast::forecast for Arima
>
> > dt <- as.Date("2023-01-01") + 1:length(WWWusage)
> > a <- xts(WWWusage, order.by=dt)
> > fit1 <- Arima(a, c(3,1,0))
> > fit2 <- Arima(a, lambda=0.5, c(3,1,0))  ## applies the Box-Cox
transform with lambda=0.5
> > par(mfrow=c(1,2))
> > plot(forecast(fit1))
> > plot(forecast(fit2))
>
> HTH,
> Eric
>
> p.s. RJH is the author/maintainer of the forecast package
>
>
> On Sun, Aug 13, 2023 at 1:01?AM akshay kulkarni <akshay_e4 at
hotmail.com> wrote:
> >
> > dear members,
> >                          I have a heteroscedastic time series which I
want to transform to make it homoscedastic by a box cox transformation. I am
using Otexts by RJ hyndman and George Athanopolous as my textbook. They discuss
transformation and also say the fpp3 and the fable package automatically back
transforms the point forecast. they also discuss the process which I find to be
very cumbersome. Is there any R package which automatically back transforms the
point forecast when I use xts objects ( RJH and GA use tsibble objects) with
arfima/arima in the forecast package?
> >
> > THanking you,
> > Yours sincerely,
> > AKSHAY M KULKARNI
> >
> >         [[alternative HTML version deleted]]
> >
> > ______________________________________________
> > R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see
> > https://stat.ethz.ch/mailman/listinfo/r-help
> > PLEASE do read the posting guide
http://www.R-project.org/posting-guide.html
> > and provide commented, minimal, self-contained, reproducible code.