bats: BATS model (Exponential smoothing state space model with...

In ttnsdcn/forecast-package: Forecasting functions for time series

Description

Fits a BATS model applied to y, as described in De Livera, Hyndman & Snyder (2012). Parallel processing is used by default to speed up the computatons.

Usage

bats(y, use.box.cox=NULL, use.trend=NULL, use.damped.trend=NULL, 
  seasonal.periods=NULL, use.arma.errors=TRUE, use.parallel=TRUE, num.cores=NULL, ...)

Arguments

y	The time series to be forecast. Can be numeric, msts or ts. Only univariate time series are supported.
use.box.cox	TRUE/FALSE indicates whether to use the Box-Cox transformation or not. If NULL then both are tried and the best fit is selected by AIC.
use.trend	TRUE/FALSE indicates whether to include a trend or not. If NULL then both are tried and the best fit is selected by AIC.
use.damped.trend	TRUE/FALSE indicates whether to include a damping parameter in the trend or not. If NULL then both are tried and the best fit is selected by AIC.
seasonal.periods	If y is a numeric then seasonal periods can be specified with this parameter.
use.arma.errors	TRUE/FALSE indicates whether to include ARMA errors or not. If TRUE the best fit is selected by AIC. If FALSE then the selection algorithm does not consider ARMA errors.
use.parallel	TRUE/FALSE indicates whether or not to use parallel processing.
num.cores	The number of parallel processes to be used if using parallel processing. If NULL then the number of logical cores is detected.
...	Additional parameters to be passed to auto.arima when choose an ARMA(p, q) model for the errors.

Value

An object of class "bats". The generic accessor functions fitted.values and residuals extract useful features of the value returned by bats and associated functions.

Author(s)

Slava Razbash and Rob J Hyndman

References

De Livera, A.M., Hyndman, R.J., & Snyder, R. D. (2012), Forecasting time series with complex seasonal patterns using exponential smoothing, Journal of the American Statistical Association, to appear.

Examples

fit <- bats(USAccDeaths)
plot(forecast(fit))
## Not run: 
taylor.fit <- bats(taylor)
plot(forecast(taylor.fit))

## End(Not run)

ttnsdcn/forecast-package documentation built on June 1, 2019, 2:49 a.m.