fore.arma.wge {tswge}

Forecast from known model

Description

Forecasts and associated plots for an ARMA model

Usage

fore.arma.wge(x,phi=0,theta=0,n.ahead=5,lastn=FALSE,plot=TRUE,alpha=.05,limits=TRUE)

Arguments

x

Realization

phi

AR vector

theta

MA vector

n.ahead

Number of steps ahead

lastn

Logical variable, TRUE means plot forecast for last n.ahead values of realization

plot

Logical variable , TRUE means plot forecasts

alpha

Significance level for prediction limits

limits

Logical variable, TRUE means plot limits

Value

f

Vector of forecasts

ll

Lower limits

ul

Upper limits

resid

Residuals

wnv

White noise variance estimate

xbar

Sample mean of data in x

se

Se for each forecast

psi

psi weights

rmse

RMSE is output if lastn=TRUE

mad

MAD is output if lastn=TRUE

Author(s)

Wayne Woodward

References

"Applied Time Series Analysis with R, 2nd edition" by Woodward, Gray, and Elliott

Examples

data(fig6.1nf)
fore.arma.wge(fig6.1nf,phi=.8,n.ahead=20)