ARIMAsetup: ARIMAsetup

In UComp: Automatic Univariate Time Series Modelling of many Kinds

ARIMAsetup

Description

Sets up ARIMA general models

Usage

ARIMAsetup(
  y,
  u = NULL,
  model = NULL,
  cnst = NULL,
  s = frequency(y),
  criterion = "bic",
  h = 2 * s,
  verbose = FALSE,
  lambda = 1,
  maxOrders = c(3, 2, 3, 2, 1, 2),
  bootstrap = FALSE,
  nSimul = 5000,
  fast = FALSE
)

Arguments

y	a time series to forecast (it may be either a numerical vector or a time series object). This is the only input required. If a vector, the additional input s should be supplied compulsorily (see below).
u	a matrix of input time series. If the output wanted to be forecast, matrix u should contain future values for inputs.
model	the model to estimate. A vector c(p,d,q,P,D,Q) containing the model orders of an ARIMA(p,d,q)x(P,D,Q)_s model. A constant may be estimated with the cnst input. Use a NULL to automatically identify the ARIMA model.
cnst	flag to include a constant in the model (TRUE/FALSE/NULL). Use NULL to estimate
s	seasonal period of time series (1 for annual, 4 for quarterly, ...)
criterion	information criterion for identification stage ("aic", "bic", "aicc")
h	forecast horizon. If the model includes inputs h is not used, the lenght of u is used instead.
verbose	intermediate estimation output (TRUE / FALSE)
lambda	Box-Cox lambda parameter (NULL: estimate)
maxOrders	a vector c(p,d,q,P,D,Q) containing the maximum orders of model orders to search for in the automatic identification
bootstrap	use bootstrap simulation for predictive distributions
nSimul	number of simulation runs for bootstrap simulation of predictive distributions
fast	fast identification (avoids post-identification checks)

Details

See help of ARIMAforecast.

Value

An object of class ARIMA. It is a list with fields including all the inputs and the fields listed below as outputs. All the functions in this package fill in part of the fields of any ARIMA object as specified in what follows (function ARIMA fills in all of them at once):

After running ARIMAforecast or ARIMA:

p	Estimated parameters
yFor	Forecasted values of output
yForV	Variance of forecasted values of output
ySimul	Bootstrap simulations for forecasting distribution evaluation

After running ARIMAvalidate:

table

Estimation and validation table

Author(s)

Diego J. Pedregal

See Also

ARIMA, ARIMAforecast, ARIMAvalidate,

Examples

y <- log(AirPassengers)
m1 <- ARIMAsetup(y)
m1 <- ARIMAsetup(y, lambda = NULL)

UComp documentation built on April 24, 2026, 5:07 p.m.