fore.arma.wge: Forecast from known model

In BivinSadler/tswge: Time Series for Data Science

Forecast from known model

Description

Forecasts and associated plots for an ARMA model

Usage

fore.arma.wge(x,phi=0,theta=0,n.ahead=5,lastn=FALSE,plot=TRUE,alpha=.05,limits=TRUE)

Arguments

x	Realization
phi	AR vector
theta	MA vector
n.ahead	Number of steps ahead
lastn	Logical variable, TRUE means plot forecast for last n.ahead values of realization
plot	Logical variable , TRUE means plot forecasts
alpha	Significance level for prediction limits
limits	Logical variable, TRUE means plot limits

Value

f	Vector of forecasts
ll	Lower limits
ul	Upper limits
resid	Residuals
wnv	White noise variance estimate
xbar	Sample mean of data in x
se	Se for each forecast
psi	psi weights
rmse	RMSE is output if lastn=TRUE
mad	MAD is output if lastn=TRUE

Author(s)

Wayne Woodward

References

"Applied Time Series Analysis with R, 2nd edition" by Woodward, Gray, and Elliott

Examples

data(fig6.1nf)
fore.arma.wge(fig6.1nf,phi=.8,n.ahead=20)

BivinSadler/tswge documentation built on Sept. 15, 2023, 4:07 p.m.