naive: Naive and Random Walk Forecasts

In a1967fa/f-cast: Forecasting Functions for Time Series and Linear Models

Description

rwf() returns forecasts and prediction intervals for a random walk with drift model applied to y. This is equivalent to an ARIMA(0,1,0) model with an optional drift coefficient. naive() is simply a wrapper to rwf() for simplicity. snaive() returns forecasts and prediction intervals from an ARIMA(0,0,0)(0,1,0)m model where m is the seasonal period.

Usage

rwf(y, h = 10, drift = FALSE, level = c(80, 95), fan = FALSE,
  lambda = NULL, biasadj = FALSE, bootstrap = FALSE, npaths = 5000,
  x = y)

naive(y, h = 10, level = c(80, 95), fan = FALSE, lambda = NULL,
  biasadj = FALSE, bootstrap = FALSE, npaths = 5000, x = y)

snaive(y, h = 2 * frequency(x), level = c(80, 95), fan = FALSE,
  lambda = NULL, biasadj = FALSE, bootstrap = FALSE, npaths = 5000,
  x = y)

Arguments

y	a numeric vector or time series of class ts
h	Number of periods for forecasting
drift	Logical flag. If TRUE, fits a random walk with drift model.
level	Confidence levels for prediction intervals.
fan	If TRUE, level is set to seq(51,99,by=3). This is suitable for fan plots.
lambda	Box-Cox transformation parameter. Ignored if NULL. Otherwise, forecasts back-transformed via an inverse Box-Cox transformation.
biasadj	Use adjusted back-transformed mean for Box-Cox transformations. If TRUE, point forecasts and fitted values are mean forecast. Otherwise, these points can be considered the median of the forecast densities.
bootstrap	If TRUE, use a bootstrap method to compute prediction intervals. Otherwise, assume a normal distribution.
npaths	Number of bootstrapped sample paths to use if bootstrap==TRUE.
x	Deprecated. Included for backwards compatibility.

Details

The random walk with drift model is

Y[t]=c + Y[t-1] + Z[t]

where Z[t] is a normal iid error. Forecasts are given by

Y[n+h]=ch+Y[n]

. If there is no drift (as in naive), the drift parameter c=0. Forecast standard errors allow for uncertainty in estimating the drift parameter (unlike the corresponding forecasts obtained by fitting an ARIMA model directly).

The seasonal naive model is

Y[t]=Y[t-m] + Z[t]

where Z[t] is a normal iid error.

Value

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 naive or snaive.

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 object itself or the time series used to create the model stored as object).
residuals	Residuals from the fitted model. That is x minus fitted values.
fitted	Fitted values (one-step forecasts)

Author(s)

Rob J Hyndman

See Also

Arima

Examples

gold.fcast <- rwf(gold[1:60], h=50)
plot(gold.fcast)


plot(naive(gold,h=50),include=200)


plot(snaive(wineind))

a1967fa/f-cast documentation built on May 29, 2019, 12:05 a.m.