Displaying 20 results from an estimated 10000 matches similar to: "forecast in arima"
2008 Aug 12
1
arima forecast function
hi:
I am trying to fit prediction intervals for an arima object. My search led
me to the link:
http://finzi.psych.upenn.edu/R/library/forecast/html/forecast.Arima.html
which has the function "forecast", as I wanted. However, when I try to run
it in R, I get the message:
Error in plot(forecast(fit)) : could not find function "forecast"
Even the example provided on the page
2011 Jul 04
1
forecast: bias in sampling from seasonal Arima model?
Dear all,
I stumbled upon what appears to be a troublesome issue when sampling from an
ARIMA model (from Rob Hyndman's excellent 'forecast' package) that contains
a seasonal AR component.
Here's how to reproduce the issue. (I'm using R 2.9.2 with forecast 2.19;
see sessionInfo() below).
First some data:
> x <- c(
0.132475, 0.143119, 0.108104, 0.247291, 0.029510,
2012 Apr 26
1
Using the R predict function to forecast a model fit with auto.arima function
Hello R users,
Hope everyone is doing great.
I have a dataset that is in .csv format and consists of two columns: one
named Period (which contains dates in the format yyyy_mm) and goes from
1995_10 to 2007_09 and the second column named pcumsdry which is a
volumetric measure and has been formatted as numeric without any commas or
decimals.
I imported the dataset as pauldataset and made use of
2010 Mar 19
1
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
2008 Oct 15
1
Forecasting using ARIMAX
Dear R-helpers,
I would appreicate if someone can help me on the transfer parameter in ARIMAX and also see what I am doing is correct.
I am using ARIMAX with 2 Exogeneous Variables and 10 years data are as follows:
DepVar Period, depVar, IndepVar1 Period, indepVar1, IndepVar2 Period, indepVar2
Jan 1998,708,Jan 1998,495,Jan 1998,245.490
Feb 1998,670,Feb 1998,421.25,Feb 1998,288.170
Mar
2011 Sep 14
3
Loops
Dear forum,
I would like to forecast e.g. with the arima-model. To figure out which
model works best I am going to predict with this models.
my first code:
for(ar.ord in 1:3){
for(ma.ord in 1:3){
print(predict(arima(para_qtr[1:(n-8),1],order=c(ar.ord,1,ma.ord)),
n.ahead=8)$pred)
}
}
this one works. but I want to "save" my results in a matrix or a data.frame.
my second code:
2013 Apr 15
1
use of simulate.Arima (forecast package)
I would like to simulate some SARIMA models, e.g. a SARIMA (1,0,1)(1,0,1)[4] process.
I installed the package 'forecast', where the function simulate.Arima should do what I am trying to do.
I am not able to understand how it works
Could somebody help me with an example?
thank you
Stefano Sofia
AVVISO IMPORTANTE: Questo messaggio di posta elettronica pu? contenere informazioni
2006 Oct 19
1
predict.Arima question
Hi,
I am trying to forecast a model using predict.Arima
I found arima model for a data set: x={x1,x2,x3,...,x(t)}
arima_model = arima(x,order=c(1,0,1))
I am forecasting the next N lags using predict:
arima_pred = predict(arima_model,n.ahead = N, se.fit=T)
If I have one more point in my series, let's say x(t+1). I do not want to
recalibrate themodel, I just want to forecast the next N-1
2008 Sep 22
1
Prediction errors from forecast()?
Hello,
I am using forecast() in the forecast package to predict future values of an
ARIMA model fit to a time series. I have read most of the documentation for
the forecast package, but I can't figure out how to obtain the forecast
variance for the predicted values. I tried using the argument
"se.fit=TRUE," hoping this would work since forecast() calls predict().
Is there an easy
2010 Oct 07
1
auto.arima error
I am trying to use auto.arima to fit a univariate time series and do forecast.
This is an imaginary data on monthly outcomes of 2 years and I want to forecast the outcome for next 12 months of next year.
data Data1;
input RR;
datalines;
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run;
I successfully took this data into R and used the auto.arima codes but am getting
2009 Mar 05
3
Time Series - ARIMA differencing problem
Hi,
I have been using this website (
http://www.stat.pitt.edu/stoffer/tsa2/Rissues.htm
http://www.stat.pitt.edu/stoffer/tsa2/Rissues.htm ) to help me to fit ARIMA
models to my data. At the moment I have two possible methods to use.
Method 1
If I use
arima(ts.data, order=c(1,2,0), xreg=1:length(ts.data))
then the wrong value for the intercept/mean is given (checked on SPSS and
Minitab) and
2003 Apr 21
2
Anyone Familiar with Using arima function with exogenous variables?
I've posted this before but have not been able to locate what I'm doing
wrong. I cannot determine how the forecast is made using the estimated
coefficients from a simple AR(2) model when there is an exogenous
variable. Does anyone know what the problem is? The help file for arima
doesn't show the model with any exogenous variables. I haven't been able
to locate any documents
2009 Jan 23
1
forecasting error?
Hello everybody!
I have an ARIMA model for a time series. This model was obtained through an
auto.arima function. The resulting model is a ARIMA(2,1,4)(2,0,1)[12] with
drift (my time series has monthly data). Then I perform a 12-step ahead
forecast to the cited model... so far so good... but when I look the plot of
my forecast I see that the result is really far from the behavior of my time
2010 Mar 17
1
Reg GARCH+ARIMA
Hi,
Although my doubt is pretty,as i m not from stats background i am not sure
how to proceed on this.
Currently i am doing a forecasting.I used ARIMA to forecast and time series
was volatile i used garchFit for residuals.
How to use the output of Garch to correct the forecasted values from ARIMA.
Here is my code:
###delta is the data
fit<-arima(delta,order=c(2,,0,1))
fit.res <-
2012 Aug 01
1
Odd Results when using R's auto.arima function
Good morning everyone,
I have attached an Excel file that contains a macro from which I call and
use R's auto.arima function to generate forecasts. The program runs
perfectly and it gets me the results; however, those results are pretty
unusual. I also tried using the auto.arima function directly in the R
console and still get weird results.
The results are shown in columns AB, AC and AD
2005 Nov 15
1
Linear model mixed with an ARIMA model
Dear all,
I'm looking for how can I input a linear model with an arma model,like
log(y) = 8.95756 + 0.0346414^t - 0.1*t^2 + ut
ut=-0.296ut-1+at-0.68at-1
where log(y) is qudratic function ,for the time series trend,
and get then get the residuals from the first function.
" obersvations value - the fit value = ut"
and fit an ARIMA(1,1,1) model for ut.
2012 Jan 04
1
[Matlab] Need help on ARIMA and Matlab
Hi, I have to forecast some value of a time series using an ARIMA(5,1,3)
model.
I saw in Matlab there isn't a function for ARIMA models because ARIMA
models are a type of Box-Jenkins models. But how to set parameters?
In the Box-Jenkins models
m = bj(data,[nb nc nd nf nk])
How to set nb, nc, nd, nf and nk in order to have an ARIMA(p,d,q) model?
Thanks
[[alternative HTML version
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),
2009 Jun 04
2
Import ARIMA coefficients
Hello,
I need to know how to import ARIMA coefficients. I already determined the coefficients of the model with other software, but now i need to do the forecast in R.
For Example: I have a time series named x
and i have fitted an ARIMA(1,0,1) (with other software)
AR coef = -.172295
MA coef = .960043
(i know that this is not a good model, it's just an example)
I try to
2009 Jun 23
1
Forecast GARCH model
Hi,
I've fitted a GARCH(1,1) for the residuals of my time serie (X).
X is an ARMA(1,1) process.
Now I want to do a n-step forecast for X, knowing these processes. How can I
do this?
I know that there's a command:
predict() for ARIMA processes and so on, but what about GARCH?
I've got:
arma=arima(x, order=c(1,0,1))
(...)
garch11<-garch(residuals(x),order = c(1, 1))