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lagsize
2003 May 25
0
Fitting an ARIMA model to a time series
...ressure will be a value
around a mean of 120 with only minor fluctuations. Only when something goes
terribly wrong it will have a trend up or down.
I now try to predict new values every interval of size 20 with data from a
sliding window of size 100 with the following code:
windowSize <- 100
lagSize <- 5
for(i in 1 : 100)
{
index <- windowSize + ((i-1)*20)
model <- arima(series$series[ ( ( (index-windowSize) + 1) : index ) ],
order = c(2, 1, 1), method = c("ML") )
predictions <- arima.sim(n=5, model = model)
}
The problem is that whatever order I use for the model...