tidiers_arima: Tidying methods for ARIMA modeling of time series

tidiers_arimaR Documentation

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)

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

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



business-science/sweep documentation built on Feb. 2, 2024, 2:49 a.m.