forecast.mts | R Documentation |

`mforecast`

is a class of objects for forecasting from multivariate
time series or multivariate time series models. The function invokes
particular *methods* which depend on the class of the first argument.

## S3 method for class 'mts' forecast( object, h = ifelse(frequency(object) > 1, 2 * frequency(object), 10), level = c(80, 95), fan = FALSE, robust = FALSE, lambda = NULL, biasadj = FALSE, find.frequency = FALSE, allow.multiplicative.trend = FALSE, ... )

`object` |
a multivariate time series or multivariate time series model for which forecasts are required |

`h` |
Number of periods for forecasting |

`level` |
Confidence level for prediction intervals. |

`fan` |
If TRUE, |

`robust` |
If TRUE, the function is robust to missing values and outliers
in |

`lambda` |
Box-Cox transformation parameter. If |

`biasadj` |
Use adjusted back-transformed mean for Box-Cox transformations. If transformed data is used to produce forecasts and fitted values, a regular back transformation will result in median forecasts. If biasadj is TRUE, an adjustment will be made to produce mean forecasts and fitted values. |

`find.frequency` |
If TRUE, the function determines the appropriate period, if the data is of unknown period. |

`allow.multiplicative.trend` |
If TRUE, then ETS models with multiplicative trends are allowed. Otherwise, only additive or no trend ETS models are permitted. |

`...` |
Additional arguments affecting the forecasts produced. |

For example, the function `forecast.mlm`

makes multivariate
forecasts based on the results produced by `tslm`

.

An object of class "`mforecast`

".

The function `summary`

is used to obtain and print a summary of the
results, while the function `plot`

produces a plot of the multivariate
forecasts and prediction intervals.

The generic accessors functions `fitted.values`

and `residuals`

extract various useful features of the value returned by
`forecast$model`

.

An object of class `"mforecast"`

is a list usually 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 |

`residuals` |
Residuals from the fitted model. For models with additive errors, the residuals will be x minus the fitted values. |

`fitted` |
Fitted values (one-step forecasts) |

Rob J Hyndman & Mitchell O'Hara-Wild

Other functions which return objects of class `"mforecast"`

are `forecast.mlm`

, `forecast.varest`

.

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