STLARIMA: STL Based ARIMA Forecasting Model

In stlARIMA: STL Decomposition and ARIMA Hybrid Forecasting Model

Description

The STLARIMA function forecasts a time series using a hybrid model made of a decomposition technique called seasonal trend decomposition based on loess (STL) and a forecasting technique called ARIMA. The function further computes the values of different forecasting evaluation criteria.

Usage

STLARIMA(data, stepahead=10)

Arguments

data	Input univariate time series (ts) data.
stepahead	The forecast horizon.

Details

This function decomposes a nonlinear, nonstationary and seasonal time series into trend-cycle, seasonal and remainder component using STL (Cleveland et al., 1990). ARIMA model is used to forecast these components individually (Box et al., 2015, Jha and Sinha, 2013). Finally, the prediction results of all the three components are aggregated to formulate an ensemble output for the input time series.

Value

data_test	Testing set used to measure the out of sample performance.
STLcomp_forecast	Forecasted value of all individual components.
stlARIMA_forecast	Final forecasted value of the stlARIMA model. It is obtained by combining the forecasted value of all individual components.
MAE_stlARIMA	Mean Absolute Error (MAE) for stlARIMA model.
MAPE_stlARIMA	Mean Absolute Percentage Error (MAPE) for stlARIMA model.
rmse_stlARIMA	Root Mean Square Error (RMSE) for stlARIMA model.

References

Cleveland, R.B., Cleveland, W.S., McRae, J.E., Terpenning, I. (1990). STL: A seasonal-trend decomposition procedure based on loess, Journal of Official Statistics, 6, 3–73.

Box, G.E.P, Reinsel, G.C., Jenkins, G.M., Ljung, G.M. (2015). Time Series Analysis: Forecasting and Control. Wiley, Germany.

Jha, G.K., Sinha, K. (2013). Agricultural price forecasting using neural network model: An innovative information delivery system. Agricultural Economics Research Review, 26, 229–239.

Examples

data("Data_potato")
STLARIMA(Data_potato)

stlARIMA documentation built on Aug. 16, 2021, 9:06 a.m.