Displaying 20 results from an estimated 10000 matches similar to: "[Matlab] Need help on ARIMA and Matlab"
2006 Feb 16
2
function for prediting garch
hello,
In my time series data, I was able to successfully fit
its ARIMA model (Box-Jenkins) and its GARCH model and
estimate their parameters. I was also able to forecast
future values of the time series based on my fitted
ARIMA model using the predict() function call.
However, I'm not sure what is the correct function
command to call in order to forecast future values of
my time series
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
2007 Nov 26
3
Time Series Issues, Stationarity ..
Hello,
I am very new to R and Time Series. I need some help including R codes
about the following issues. I' ll really appreciate any number of
answers...
# I have a time series data composed of 24 values:
myinput = c(n1,n2...,n24);
# In order to make a forecasting a, I use the following codes
result1 = arima(ts(myinput),order = c(p,d,q),seasonal = list(order=c(P,D,Q)))
result2 =
2007 Dec 11
1
question regarding arima function and predicted values
Good evening!
I have a question regarding forecast package and time series analysis.
My syntax:
x<-c(253, 252, 275, 275, 272, 254, 272, 252, 249, 300, 244, 258, 255, 285, 301, 278, 279, 304, 275, 276, 313, 292, 302, 322, 281, 298, 305, 295, 286, 327, 286, 270, 289, 293, 287, 267, 267, 288, 304, 273, 264, 254, 263, 265, 278)
library(forecast)
arima(x, order=c(1,1,2),
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
2007 Dec 04
1
Best forecasting methods with Time Series ?
Hello,
In order to do a future forecast based on my past Time Series data sets
(salespricesproduct1, salespricesproduct2, etc..), I used arima() functions
with different parameter combinations which give the smallest AIC. I also
used auto.arima() which finds the parameters with the smallest AICs. But
unfortuanetly I could not get satisfactory forecast() results, even
sometimes catastrophic
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
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
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
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
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 <-
2010 Aug 19
1
How to include trend (drift term) in arima.sim
I have been trying to simulate from a time series with trend but I don't see
how to include the trend in the arima.sim() call. The following code
illustrates the problem:
# Begin demonstration program
x <- c(0.168766559, 0.186874000, 0.156710548, 0.151809531, 0.144638812,
0.142106888, 0.140961714, 0.134054659, 0.138722419, 0.134037018,
0.122829846, 0.120188714,
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 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
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
2006 Aug 24
2
Search for best ARIMA model
Hello,
I have a several time series, which I would like to check for their best
fitted Arima model (I am checking for the lowest aic value).
Which lets me raise two questions:
1) is there are more efficient way, than using 6 for-loops?
2) sometimes the system cannot calculate with given parameters - is
there a more efficient solution than I found?
I hope, you can help me to make this
2016 Apr 07
4
Contenido de un objeto/modelo ARIMA
Buenos días,
Os cuento:
Cargo la librería "Forecast" y ejecuto su función Arima(...) sobre una
serie temporal:
mimodelo <- Arima(miST$miserie, ...);
Ahora si ejecuto las siguientes sentencias, voy obteniendo los resultados
contenidos en "mimodelo", pero algunos de ellos no sé lo que son:
mimodelo[[1]] obtengo los coeficientes del modelo ARIMA
mimodelo[[2]] obtengo el
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),
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,
2023 Jan 05
1
R 'arima' discrepancies
Rob J Hyndman gives great explanation here
(https://robjhyndman.com/hyndsight/estimation/) for reasons why results
from R's arima may differ from other softwares.
@iacobus, to cite one, 'Major discrepancies between R and Stata for
ARIMA'
(https://stackoverflow.com/questions/22443395/major-discrepancies-between-r-and-stata-for-arima),
assign the, sometimes, big diferences from R