Forecasting ARIMA

ARIMA Models in R

David Stoffer

Professor of Statistics at the University of Pittsburgh

Forecasting ARIMA Processes

  • The model describes how the dynamics of the time series behave over time

  • Forecasting simply continues the model dynamics into the future

  • Use sarima.for() to forecast in the astsa-package

ARIMA Models in R

Forecasting ARIMA Processes

oil  <- window(astsa::oil, end = 2006)
oilf <- window(astsa::oil, end = 2007)
sarima.for(oil, n.ahead = 52, 1, 1, 1)

lines(oilf)

ch3_3.008.png

ARIMA Models in R

Let's practice!

ARIMA Models in R

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