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rmse
2013 Sep 05
2
Pronósticos con modelos robusto de series de tiempo
Alguien me podría sugerir un paquete en R para generar pronóticos con modelos robusto de series de tiempo.
Saludos
Enrique RAMOS
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2013 Sep 05
0
Pronósticos con modelos robusto de series de tiempo
...ibrary(forecast)
##---- MODELS -------
m1<-stl(x, s.window='periodic') #STL Decomposition
m2<-auto.arima(x) # arima
m3<-nnetar(x,lambda=0) #neural networks
# Predictions
f1<-forecast(m1, h=h);
f2<-forecast(m2, h=h);
f3<-forecast(m3, h=h);
# Fit accuracy
rmse1 <- mean((x-f1$fitted)^2)/var(x);
rmse2 <- mean((x-f2$fitted)^2)/var(x);
fitted<-f3$fitted;#fitted[1:52]<-x[1:52];
rmse3 <-
mean((x[(frequency(x)+1):length(x)]-fitted[(frequency(x)+1):length(x)])^2)/var(x[(frequency(x)+1):length(x)]);
#lab<-data.frame("F",&quo...