ETSsetup: ETSsetup

In UComp: Automatic Unobserved Components and Other Time Series Models

ETSsetup

Description

Sets up ETS general univariate models

Usage

ETSsetup(
  y,
  u = NULL,
  model = "???",
  s = frequency(y),
  h = 2 * s,
  criterion = "aicc",
  lambda = 1,
  armaIdent = FALSE,
  identAll = FALSE,
  forIntervals = FALSE,
  bootstrap = FALSE,
  nSimul = 5000,
  verbose = FALSE,
  alphaL = c(1e-08, 1 - 1e-08),
  betaL = alphaL,
  gammaL = alphaL,
  phiL = c(0.8, 0.98),
  p0 = -99999
)

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. It is a single string indicating the type of model for each component with one or two letters: Error: ? / A / M Trend: ? / N / A / Ad / M / Md Seasonal: ? / N / A / M
s	seasonal period of time series (1 for annual, 4 for quarterly, ...)
h	forecast horizon. If the model includes inputs h is not used, the lenght of u is used instead.
criterion	information criterion for identification ("aic", "bic" or "aicc").
lambda	Box-Cox lambda parameter (NULL: estimate)
armaIdent	check for arma models for error component (TRUE / FALSE).
identAll	run all models to identify the best one (TRUE / FALSE)
forIntervals	estimate forecasting intervals (TRUE / FALSE)
bootstrap	use bootstrap simulation for predictive distributions
nSimul	number of simulation runs for bootstrap simulation of predictive distributions
verbose	intermediate estimation output (TRUE / FALSE)
alphaL	constraints limits for alpha parameter
betaL	constraints limits for beta parameter
gammaL	constraints limits for gamma parameter
phiL	constraints limits for phi parameter
p0	initial values for parameter search (alpha, beta, phi, gamma) with consraints: 0 < alpha < 1 0 < beta < alpha 0 < phi < 1 0 < gamma < 1 - alpha

Details

See help of ETSmodel.

Value

An object of class ETS. See ETSmodel.

Author(s)

Diego J. Pedregal

See Also

ETS, ETSmodel, ETSvalidate, ETScomponents, ETSestim

Examples

## Not run: 
y <- log(AirPAssengers)
m1 <- ETSsetup(y)
m1 <- ETSsetup(y,  model = "???")
m1 <- ETSsetup(y,  model = "?AA")

## End(Not run)

UComp documentation built on May 31, 2023, 7:41 p.m.