forecast.lm: Forecast a linear model with possible time series components

In pli2016/forecast: Forecasting Functions for Time Series and Linear Models

Description

forecast.lm is used to predict linear models, especially those involving trend and seasonality components.

Usage

## S3 method for class 'lm'
forecast(object, newdata, h=10, level=c(80,95), fan=FALSE, 
    lambda=object$lambda, biasadj=NULL, ts=TRUE, ...)

Arguments

object	Object of class "lm", usually the result of a call to lm or tslm.
newdata	An optional data frame in which to look for variables with which to predict. If omitted, it is assumed that the only variables are trend and season, and h forecasts are produced.
level	Confidence level for prediction intervals.
fan	If TRUE, level is set to seq(51,99,by=3). This is suitable for fan plots.
h	Number of periods for forecasting. Ignored if newdata present.
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.
ts	If TRUE, the forecasts will be treated as time series provided the original data is a time series; the newdata will be interpreted as related to the subsequent time periods. If FALSE, any time series attributes of the original data will be ignored.
...	Other arguments passed to predict.lm().

Details

forecast.lm is largely a wrapper for predict.lm() except that it allows variables "trend" and "season" which are created on the fly from the time series characteristics of the data. Also, the output is reformatted into a forecast object.

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 forecast.lm.

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 historical data for the response variable.
residuals	Residuals from the fitted model. That is x minus fitted values.
fitted	Fitted values

Author(s)

Rob J Hyndman

See Also

tslm, lm.

Examples

y <- ts(rnorm(120,0,3) + 1:120 + 20*sin(2*pi*(1:120)/12), frequency=12)
fit <- tslm(y ~ trend + season)
plot(forecast(fit, h=20))

pli2016/forecast documentation built on May 25, 2019, 8:22 a.m.