forecast.nnetar | R Documentation |
Returns forecasts and other information for univariate neural network models.
## S3 method for class 'nnetar'
forecast(
object,
h = ifelse(object$m > 1, 2 * object$m, 10),
PI = FALSE,
level = c(80, 95),
fan = FALSE,
xreg = NULL,
lambda = object$lambda,
bootstrap = FALSE,
npaths = 1000,
innov = NULL,
...
)
object |
An object of class " |
h |
Number of periods for forecasting. If |
PI |
If TRUE, prediction intervals are produced, otherwise only point
forecasts are calculated. If |
level |
Confidence level for prediction intervals. |
fan |
If |
xreg |
Future values of external regressor variables. |
lambda |
Box-Cox transformation parameter. If |
bootstrap |
If |
npaths |
Number of sample paths used in computing simulated prediction intervals. |
innov |
Values to use as innovations for prediction intervals. Must be
a matrix with |
... |
Additional arguments passed to |
Prediction intervals are calculated through simulations and can be slow. Note that if the network is too complex and overfits the data, the residuals can be arbitrarily small; if used for prediction interval calculations, they could lead to misleadingly small values. It is possible to use out-of-sample residuals to ameliorate this, see examples.
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.nnetar
.
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 |
xreg |
The external regressors used in fitting (if given). |
residuals |
Residuals from the fitted model. That is x minus fitted values. |
fitted |
Fitted values (one-step forecasts) |
... |
Other arguments |
Rob J Hyndman and Gabriel Caceres
nnetar
.
## Fit & forecast model
fit <- nnetar(USAccDeaths, size=2)
fcast <- forecast(fit, h=20)
plot(fcast)
## Not run:
## Include prediction intervals in forecast
fcast2 <- forecast(fit, h=20, PI=TRUE, npaths=100)
plot(fcast2)
## Set up out-of-sample innovations using cross-validation
fit_cv <- CVar(USAccDeaths, size=2)
res_sd <- sd(fit_cv$residuals, na.rm=TRUE)
myinnovs <- rnorm(20*100, mean=0, sd=res_sd)
## Forecast using new innovations
fcast3 <- forecast(fit, h=20, PI=TRUE, npaths=100, innov=myinnovs)
plot(fcast3)
## End(Not run)
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