Displaying 20 results from an estimated 10000 matches similar to: "question regarding arima function and predicted values"
2007 Dec 01
1
modeling time series with ARIMA
Good afternoon!
I'm trying to model a time series on the following data, which represent a monthly consumption of juices:
>x<-scan()
1: 2859 3613 3930 5193 4523 3226 4280 3436 3235 3379 3517 6022
13: 4465 4604 5441 6575 6092 6607 6390 6150 6488 5912 6228 10196
25: 7612 7270 8617 9535 8449 8520 9148 8077 7824 7991 7660 12130
37: 9135 9512 9631 12642
2007 Aug 31
3
Choosing the optimum lag order of ARIMA model
Dear all R users,
I am really struggling to determine the most appropriate lag order of ARIMA model. My understanding is that, as for MA [q] model the auto correlation coeff vanishes after q lag, it says the MA order of a ARIMA model, and for a AR[p] model partial autocorrelation vanishes after p lags it helps to determine the AR lag. And most appropriate model choosed by this argument gives
2010 May 25
2
summary of arima model in R
Hi,
I want to give a summary or anova for "arima" model in R, as
"summary", and "anova" for "lm".
As including various intervention factors in arima(xreg = ) part, I
want to assess the significancy of thse factors.
I can do it using interrupted analysis of time series by linear
regression, but want to see whether arima model works for the data
first.
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 Nov 22
2
Help: Standard errors arima
Hello,
I'm an R newbie. I've tried to search, but my search skills don't seem
up to finding what I need. (Maybe I don't know the correct terms?)
I need the standard errors and not the confidence intervals from an
ARIMA fit.
I can get fits:
> coef(test)
ar1 ma1
intercept time(TempVector) - 1900
2006 May 17
1
can Box test the Ljung Box test say which ARIMA model is better?
two ARIMA models, both have several bars signicant in ACF and PACF plots of
their residuals,
but when run Ljung Box tests,
both don't show any significant correlations...
however, one model has p-value that is larger than the other model,
based on the p-values,
can I say the model with larger p-values should be better than the model
with smaller p-values?
[[alternative HTML version
2007 Jun 24
2
Maybe this will make it to the FAQ :-)
Hi Arjen,
I've just read the FAQ and got to the question: "Q: How can I make upsmon
shut down my system after some fixed interval?" Well it looked like the
question was there for me. :-)
You say:
Ask yourself this: why buy a nice big UPS with the matching battery and
corresponding runtime and then shutdown early? If anything, I'd rather have
a few more minutes running on
2010 Aug 21
1
How to find residual in predict ARIMA
Dear All,
I have a model to predict time series data for example:
data(LakeHuron)
Lake.fit <- arima(LakeHuron,order=c(1,0,1))
then the function predict() can be used for predicting future data
with the model:
LakeH.pred <- predict(Lake.fit,n.ahead=5)
I can see the result LakeH.pred$pred and LakeH.pred$se but I did not
see residual in predict function.
If I have a model:
[\
Z_t =
2008 May 08
1
ARIMA, AR, STEP
Here is my problem:
Autoregressive models are very interesting in forecasting consumptions (eg water, gas etc).
Generally time series of this type have a long history with relatively simple patterns and can be useful to add external regressors for calendar events (holydays, vacations etc).
arima() is a very powerful function but kalman filter is very slow (and I foun difficulties of estimation)
2006 Mar 04
1
replicated time series - lme?
Dear R-helpers,
I have a time series analysis problem in R:
I want to analyse the output of my simulation model which is proportional
cover of shrubs in a savanna plot for each of 500 successive years. I have
run the model (which includes stochasticity, especially in the initial
conditions) 17 times generating 17 time series of shrub cover.
I am interested in a possible periodicity of shrub
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
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
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,
2004 Sep 27
2
Looking for .Call functions
Hi,
In my ongoing quest to track down the source of an error (see message "[R] optim error in arima" above), I find in the cource code for arima0 the following:
arma0f <- function(p) {
par <- as.double(fixed)
par[mask] <- p
.Call("arma0fa", G, par, PACKAGE = "stats")
}
I would like to know what the function
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
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 Mar 29
1
how to increase speed for function?/time efficiency of below function
i am using sarima() function as below
___________________________________________________________________________________________
sarima=function(data,p,d,q,P=0,D=0,Q=0,S=-1,tol=.001){
n=length(data)
constant=1:n
xmean=matrix(1,n,1)
if (d>0 & D>0)
fitit=arima(data, order=c(p,d,q), seasonal=list(order=c(P,D,Q),
period=S),
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
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;
12
14
17
15
13
15
15
14
15
14
16
15
15
18
16
16
15
14
15
16
16
14
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12
;
run;
I successfully took this data into R and used the auto.arima codes but am getting