arimaPredict

Purpose

Estimates forecasts using estimation results obtained from arimaFit().

Format

f = arimaPredict(b, y, e, h)
Parameters
  • b (Kx1 vector) – estimated coefficients

  • y (Nx1 vector) – data.

  • e (Nx1 vector) – residuals reported by arimamt program.

  • h (scalar) – the number of step-ahead forecasts to computer.

Returns

f (hx3 matrix) –

\([.,1]\)

Lower forecast confidence bounds.

\([.,2]\)

Forecasts.

\([.,3]\)

Upper forecast confidence bounds.

Example

new;
cls;
library tsmt;

//Simulate data
seed = 423458;
y = simarmamt(.3, 1, 0, 2, 0, 250, 1, .5, seed);

//Integrated series
z = cumsumc(y);

//Declare arima out structures
struct arimamtOut amo;

//Set AR order
p = 1;

//Set order of differencing
d = 1;

//Estimate model
amo = arimaFit(z, p, d);

//Forecast model
f =  arimaPredict(amo.b, z, amo.e, 25);

Remarks

Data must be transformed before being sent to arimaPredict.

arimaPredict does not compute forecasts for models with fixed regressors.

Library

tsmt

Source

forecastmt.src