modelAR | R Documentation |
Experimental function to forecast univariate time series with a user-defined model
modelAR(
y,
p,
P = 1,
FUN,
predict.FUN,
xreg = NULL,
lambda = NULL,
model = NULL,
subset = NULL,
scale.inputs = FALSE,
x = y,
...
)
y |
A numeric vector or time series of class |
p |
Embedding dimension for non-seasonal time series. Number of non-seasonal lags used as inputs. For non-seasonal time series, the default is the optimal number of lags (according to the AIC) for a linear AR(p) model. For seasonal time series, the same method is used but applied to seasonally adjusted data (from an stl decomposition). |
P |
Number of seasonal lags used as inputs. |
FUN |
Function used for model fitting. Must accept argument |
predict.FUN |
Prediction function used to apply |
xreg |
Optionally, a vector or matrix of external regressors, which
must have the same number of rows as |
lambda |
Box-Cox transformation parameter. If |
model |
Output from a previous call to |
subset |
Optional vector specifying a subset of observations to be used
in the fit. Can be an integer index vector or a logical vector the same
length as |
scale.inputs |
If TRUE, inputs are scaled by subtracting the column
means and dividing by their respective standard deviations. If |
x |
Deprecated. Included for backwards compatibility. |
... |
Other arguments passed to |
This is an experimental function and only recommended for advanced users.
The selected model is fitted with lagged values of y
as
inputs. The inputs are for
lags 1 to p
, and lags m
to mP
where
m=frequency(y)
. If xreg
is provided, its columns are also
used as inputs. If there are missing values in y
or
xreg
, the corresponding rows (and any others which depend on them as
lags) are omitted from the fit. The model is trained for one-step
forecasting. Multi-step forecasts are computed recursively.
Returns an object of class "modelAR
".
The function summary
is used to obtain and print a summary of the
results.
The generic accessor functions fitted.values
and residuals
extract useful features of the value returned by nnetar
.
model |
A list containing information about the fitted model |
method |
The name of the forecasting method as a character string |
x |
The original time series. |
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
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.