arima_modelspec: Auto ARIMA specification

In tsmodels/tsforeign: Interface To Other Packages

Auto ARIMA specification

Description

Sets up an automatic ARIMA specification ready for estimation.

Usage

arima_modelspec(
  y,
  xreg = NULL,
  frequency = NULL,
  seasonal = FALSE,
  seasonal_type = "regular",
  seasonal_harmonics = NULL,
  transformation = "box-cox",
  lambda = NULL,
  lower = 0,
  upper = 1.5,
  ...
)

Arguments

y	an xts vector.
xreg	an xts matrix of external regressors.
frequency	frequency of y (if using a seasonal model).
seasonal	whether to include a seasonal component.
seasonal_type	type of seasonality (regular or trigonometric).
seasonal_harmonics	number of harmonics to include in the seasonal component when seasonal_type is trigonometric.
transformation	a valid transformation for y from the “tstransform” function in the “tsaux” package (currently box-cox or logit are available).
lambda	the Box Cox lambda. If not NULL, then either a numeric value or NA denoting automatic calculation.
lower	lower bound for the transformation.
upper	upper bound for the transformation.
...	additional terms passed to the auto.arima function.

Value

An object of class “arima.spec”.

Note

This is a wrapper to the auto.arima function from the forecast package.

tsmodels/tsforeign documentation built on June 22, 2022, 2:09 p.m.