tidiers_arima: Tidying methods for ARIMA modeling of time series

In sweep: Tidy Tools for Forecasting

Tidying methods for ARIMA modeling of time series

Description

These methods tidy the coefficients of ARIMA models of univariate time series.

Usage

## S3 method for class 'Arima'
sw_tidy(x, ...)

## S3 method for class 'Arima'
sw_glance(x, ...)

## S3 method for class 'Arima'
sw_augment(x, data = NULL, rename_index = "index", timetk_idx = FALSE, ...)

## S3 method for class 'stlm'
sw_tidy(x, ...)

Arguments

x	An object of class "Arima"
...	Additional parameters (not used)
data	Used with sw_augment only. NULL by default which simply returns augmented columns only. User can supply the original data, which returns the data + augmented columns.
rename_index	Used with sw_augment only. A string representing the name of the index generated.
timetk_idx	Used with sw_augment only. Uses a irregular timetk index if present.

Value

sw_tidy() returns one row for each coefficient in the model, with five columns:

• term: The term in the nonlinear model being estimated and tested

• estimate: The estimated coefficient

sw_glance() returns one row with the columns

• model.desc: A description of the model including the three integer components (p, d, q) are the AR order, the degree of differencing, and the MA order.

• sigma: The square root of the estimated residual variance

• logLik: The data's log-likelihood under the model

• AIC: The Akaike Information Criterion

• BIC: The Bayesian Information Criterion

• ME: Mean error

• RMSE: Root mean squared error

• MAE: Mean absolute error

• MPE: Mean percentage error

• MAPE: Mean absolute percentage error

• MASE: Mean absolute scaled error

• ACF1: Autocorrelation of errors at lag 1

sw_augment() returns a tibble with the following time series attributes:

• index: An index is either attempted to be extracted from the model or a sequential index is created for plotting purposes

• .actual: The original time series

• .fitted: The fitted values from the model

• .resid: The residual values from the model

sw_tidy() returns the underlying ETS or ARIMA model's sw_tidy() one row for each coefficient in the model, with five columns:

• term: The term in the nonlinear model being estimated and tested

• estimate: The estimated coefficient

See Also

arima(), Arima()

Examples

library(dplyr)
library(forecast)
library(sweep)

fit_arima <- WWWusage %>%
    auto.arima()

sw_tidy(fit_arima)
sw_glance(fit_arima)
sw_augment(fit_arima)

sweep documentation built on July 9, 2023, 7:10 p.m.