Displaying 5 results from an estimated 5 matches for "backcasting".
2006 Nov 25
2
predict and arima
Hi all,
Forecasting from an arima model is easy with predict.
But I can't manage to backcast : invent data from the model before the
begining of the sample.
The theory is easy : take your parameters, reverse your data, forecast, and
then reverse the forecast
I've tried to adapt the predict function to do that (i'm not sure that the
statistical procedure is fine (with the residuals),
2005 Aug 27
1
ARIMA (seasonal) backcasting & interpolation
...d,q) values.
GOAL #3 Use the ARIMA analysis to fill in for NA values. (I'm not
sure how to do this yet. For example, I do not know if I will need
to use windowing to smooth my backcasted data.
I would appreciate any pointers, references, or code examples.
Also, the terminology of "backcasting" and "interpolation" is not
perfectly clear to me. I'm certainly looking to do more than linear
interpolation between data points ... that's why I'm hoping that
ARIMA will help. I need seasonal ARIMA, I believe, because there are
seasonal swings in temperature...
2011 Aug 30
2
ARMA show different result between eview and R
When I do ARMA(2,2) using one lag of LCPIH data
This is eview result
>
> *Dependent Variable: DLCPIH
> **Method: Least Squares
> **Date: 08/12/11 Time: 12:44
> **Sample (adjusted): 1970Q2 2010Q2
> **Included observations: 161 after adjustments
> **Convergence achieved after 14 iterations
> **MA Backcast: 1969Q4 1970Q1
> **
> **Variable Coefficient Std.
2005 Sep 08
1
Interpolating / smoothing missing time series data
...nly open to other suggestions, especially if they are easy
to implement.
My specific questions:
1. Presumably, once I get ARIMA working, I still have the problem of
predicting the past missing values -- I've only seen examples of
predicting into the future.
2. When predicting the past (backcasting), I also want to take
reasonable steps to make the data look smooth.
I guess I'm looking for a really good example in a textbook or white
paper (or just an R guru with some experience in this area) that can
offer some guidance.
Venables and Ripley was a great start (Modern Applied Stati...
2008 Jul 23
1
Time series reliability questions
Hello all,
I have been using R's time series capabilities to perform analysis for quite
some time now and I am having some questions regarding its reliability. In
several cases I have had substantial disagreement between R and other packages
(such as gretl and the commercial EViews package).
I have just encountered another problem and thought I'd post it to the list. In
this case,