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, z, 25);
The first five forecasts printed to the screen are:
Forecasts for ARIMA(1,1,0) Model. 95% Confidence Interval Computed.
Period LCL Forecasts UCL Forecast Std. Err.
251 480.694133 481.751067 482.808002 0.539262
252 481.268540 483.021519 484.774499 0.894394
253 482.000099 484.313042 486.625985 1.180095
254 482.830115 485.611374 488.392633 1.419036
255 483.724926 486.911907 490.098888 1.626041
Remarks¶
Data must be transformed before being sent to
arimaPredict().The
arimaPredict()procedure does not compute forecasts for models with fixed regressors.
Library¶
tsmt