naive | R Documentation |
Naive is the model constructor for a random walk model applied to y
.
This is equivalent to an ARIMA(0,1,0) model. naive()
is simply a wrapper
to maintain forecast package similitude. seasonal
returns the model
constructor for a seasonal random walk equivalent to an ARIMA(0,0,0)(0,1,0)m
model where m
is the seasonal period.
naive(ts, seasonal = FALSE, m = 0)
ts |
a numeric or ts object with the univariate time series. |
seasonal |
a Boolean value for select a seasonal random walk instead. |
m |
an optional integer value for the seasonal period. |
The random walk with drift model is
Y_t = mu_0 + Y_{t-1} + epsilon_t
where epsilon_t
is a normal i.i.d. error.
The seasonal naive model is
Y_t = mu_0 + Y_{t-m} + epsilon_t
where epsilon_t
is a normal i.i.d. error.
The function returns a list with the data for running stan()
function of rstan package.
Asael Alonzo Matamoros.
Hyndman, R. & Khandakar, Y. (2008). Automatic time series forecasting: the
forecast package for R
. Journal of Statistical Software. 26(3),
1-22.doi: 10.18637/jss.v027.i03
.
Box, G. E. P. and Jenkins, G.M. (1978). Time series analysis: Forecasting and
control. San Francisco: Holden-Day. Biometrika, 60(2), 297-303.
doi:10.1093/biomet/65.2.297
.
Kennedy, P. (1992). Forecasting with dynamic regression models: Alan Pankratz, 1991.
International Journal of Forecasting. 8(4), 647-648.
url: https://EconPapers.repec.org/RePEc:eee:intfor:v:8:y:1992:i:4:p:647-648
.
Sarima
# A seasonal Random-walk model.
model = naive(birth,seasonal = TRUE)
model
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