| % File src/library/stats/man/predict.arima.Rd |
| % Part of the R package, https://www.R-project.org |
| % Copyright 1995-2018 R Core Team |
| % Distributed under GPL 2 or later |
| |
| \name{predict.Arima} |
| \alias{predict.Arima} |
| \title{Forecast from ARIMA fits} |
| \description{ |
| Forecast from models fitted by \code{\link{arima}}. |
| } |
| \usage{ |
| \method{predict}{Arima}(object, n.ahead = 1, newxreg = NULL, |
| se.fit = TRUE, \dots) |
| } |
| \arguments{ |
| \item{object}{The result of an \code{arima} fit.} |
| \item{n.ahead}{The number of steps ahead for which prediction is required.} |
| \item{newxreg}{New values of \code{xreg} to be used for |
| prediction. Must have at least \code{n.ahead} rows.} |
| \item{se.fit}{Logical: should standard errors of prediction be returned?} |
| \item{\dots}{arguments passed to or from other methods.} |
| } |
| \details{ |
| Finite-history prediction is used, via \code{\link{KalmanForecast}}. |
| This is only statistically efficient if the MA part of the fit is |
| invertible, so \code{predict.Arima} will give a warning for |
| non-invertible MA models. |
| |
| The standard errors of prediction exclude the uncertainty in the |
| estimation of the ARMA model and the regression coefficients. |
| According to Harvey (1993, pp.\sspace{}58--9) the effect is small. |
| } |
| \value{ |
| A time series of predictions, or if \code{se.fit = TRUE}, a list |
| with components \code{pred}, the predictions, and \code{se}, |
| the estimated standard errors. Both components are time series. |
| } |
| \references{ |
| Durbin, J. and Koopman, S. J. (2001). |
| \emph{Time Series Analysis by State Space Methods}. |
| Oxford University Press. |
| |
| Harvey, A. C. and McKenzie, C. R. (1982). |
| Algorithm AS 182: An algorithm for finite sample prediction from ARIMA |
| processes. |
| \emph{Applied Statistics}, \bold{31}, 180--187. |
| \doi{10.2307/2347987}. |
| |
| Harvey, A. C. (1993). |
| \emph{Time Series Models}, 2nd Edition. |
| Harvester Wheatsheaf. |
| Sections 3.3 and 4.4. |
| } |
| |
| \seealso{ |
| \code{\link{arima}} |
| } |
| |
| \examples{ |
| od <- options(digits = 5) # avoid too much spurious accuracy |
| predict(arima(lh, order = c(3,0,0)), n.ahead = 12) |
| |
| (fit <- arima(USAccDeaths, order = c(0,1,1), |
| seasonal = list(order = c(0,1,1)))) |
| predict(fit, n.ahead = 6) |
| options(od) |
| } |
| \keyword{ts} |