forecast.Arima {forecast}R Documentation

Forecasting using ARIMA models

Description

Returns forecasts and other information for univariate ARIMA models.

Usage

## S3 method for class 'Arima':
forecast(object, h=ifelse(object$arma[5]>1,2*object$arma[5],10),
    level=c(80,95), fan=FALSE, xreg=NULL,...)
## S3 method for class 'ar':
forecast(object, h=10, level=c(80,95), fan=FALSE, ...)

Arguments

object An object of class "Arima" or "ar". Usually the result of a call to arima or ar.
h Number of periods for forecasting. If xreg is used, h is ignored and the number of forecast periods is set to the number of rows of xreg.
level Confidence level for prediction intervals.
fan If TRUE, level is set to seq(50,99,by=1). This is suitable for fan plots.
xreg Future values of an regression variables (for class Arima objects only).
... Other arguments.

Details

This function calls predict.arima or predict.ar and constructs an object of class "forecast" from the results.

Value

An object of class "forecast".
The function summary is used to obtain and print a summary of the results, while the function plot produces a plot of the forecasts and prediction intervals.
The generic accessor functions fitted.values and residuals extract useful features of the value returned by forecast.Arima.
An object of class "forecast" is a list containing at least the following elements:

model A list containing information about the fitted model
method The name of the forecasting method as a character string
mean Point forecasts as a time series
lower Lower limits for prediction intervals
upper Upper limits for prediction intervals
level The confidence values associated with the prediction intervals
x The original time series (either object itself or the time series used to create the model stored as object).
residuals Residuals from the fitted model. That is x minus fitted values.
fitted Fitted values (one-step forecasts)

Author(s)

Rob J Hyndman

See Also

predict.arima, predict.ar, rwf, arima.

Examples

fit <- Arima(WWWusage,c(3,1,0))
plot(forecast(fit))

[Package forecast version 1.23 Index]