Arima {forecast}R Documentation

Fit ARIMA model to univariate time series

Description

Largely a wrapper for the arima function in the stats package. The main difference is that this function allows a drift term. It is also possible to take an ARIMA model from a previous call to Arima and re-apply it to the data x.

Usage

Arima(x, order = c(0, 0, 0), seasonal = list(order = c(0, 0, 0), period = NA),
      xreg = NULL, include.mean = TRUE, include.drift = FALSE, 
      transform.pars = TRUE, fixed = NULL, init = NULL, 
      method = c("CSS-ML", "ML", "CSS"), n.cond, 
      optim.control = list(), kappa = 1e6, model=NULL)

Arguments

x a univariate time series
order A specification of the non-seasonal part of the ARIMA model: the three components (p, d, q) are the AR order, the degree of differencing, and the MA order.
seasonal A specification of the seasonal part of the ARIMA model, plus the period (which defaults to frequency(x)). This should be a list with components order and period, but a specification of just a numeric vector of length 3 will be turned into a suitable list with the specification as the order.
xreg Optionally, a vector or matrix of external regressors, which must have the same number of rows as x.
include.mean Should the ARIMA model include a mean term? The default is TRUE for undifferenced series, FALSE for differenced ones (where a mean would not affect the fit nor predictions).
include.drift Should the ARIMA model include a linear drift term? (i.e., a linear regression with ARIMA errors is fitted.) The default is FALSE.
transform.pars Logical. If true, the AR parameters are transformed to ensure that they remain in the region of stationarity. Not used for method = "CSS".
fixed optional numeric vector of the same length as the total number of parameters. If supplied, only NA entries in fixed will be varied. transform.pars = TRUE will be overridden (with a warning) if any AR parameters are fixed. It may be wise to set transform.pars = FALSE when fixing MA parameters, especially near non-invertibility.
init optional numeric vector of initial parameter values. Missing values will be filled in, by zeroes except for regression coefficients. Values already specified in fixed will be ignored.
method Fitting method: maximum likelihood or minimize conditional sum-of-squares. The default (unless there are missing values) is to use conditional-sum-of-squares to find starting values, then maximum likelihood.
n.cond Only used if fitting by conditional-sum-of-squares: the number of initial observations to ignore. It will be ignored if less than the maximum lag of an AR term.
optim.control List of control parameters for optim.
kappa the prior variance (as a multiple of the innovations variance) for the past observations in a differenced model. Do not reduce this.
model Output from a previous call to Arima. If model is passed, this same model is fitted to x without re-estimating any parameters.

Details

See the arima function in the stats package.

Value

See the arima function in the stats package. The additional objects returned are

x The time series data
xreg The regressors used in fitting (when relevant).

Author(s)

Rob J Hyndman

See Also

arima

Examples

fit <- Arima(WWWusage,order=c(3,1,0))
plot(forecast(fit,h=20))

air.model <- Arima(AirPassengers[1:100],c(0,1,1))
air.model2 <- Arima(AirPassengers,model=air.model)
outofsample <- ts(fitted(air.model2)[-c(1:100)],s=1957+4/12,f=12)

[Package forecast version 1.23 Index]