forecast {forecast}R Documentation

Forecasting time series

Description

forecast is a generic function for forecasting from time series or time series models. The function invokes particular methods which depend on the class of the first argument.

For example, the function forecast.Arima makes forecasts based on the results produced by arima.

The function forecast.ts makes forecasts using ets models (if the data are non-seasonal or the seasonal period is 12 or less) or stlf (if the seasonal period is 13 or more).

Usage

forecast(object,...)
## S3 method for class 'ts'
forecast(object, h = ifelse(frequency(object) > 1, 2 * frequency(object), 10) , 
         level=c(80,95), fan=FALSE, robust=FALSE, lambda=NULL, find.frequency=FALSE, 
         allow.multiplicative.trend=FALSE, ...)

Arguments

object

a time series or time series model for which forecasts are required

h

Number of periods for forecasting

level

Confidence level for prediction intervals.

fan

If TRUE, level is set to seq(51,99,by=3). This is suitable for fan plots.

robust

If TRUE, the function is robust to missing values and outliers in object. This argument is only valid when object is of class ts.

lambda

Box-Cox transformation parameter.

find.frequency

If TRUE, the function determines the appropriate period, if the data is of unknown period.

allow.multiplicative.trend

If TRUE, then ETS models with multiplicative trends are allowed. Otherwise, only additive or no trend ETS models are permitted.

...

Additional arguments affecting the forecasts produced. forecast.ts passes these to forecast.ets or stlf depending on the frequency of the time series.

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 accessors functions fitted.values and residuals extract various useful features of the value returned by forecast$model.

An object of class "forecast" is a list usually 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. For models with additive errors, the residuals will be x minus the fitted values.

fitted

Fitted values (one-step forecasts)

Author(s)

Rob J Hyndman

See Also

Other functions which return objects of class "forecast" are forecast.ets, forecast.Arima, forecast.HoltWinters, forecast.StructTS, meanf, rwf, splinef, thetaf, croston, ses, holt, hw.


[Package forecast version 7.3 Index]