ARIMA function

ARIMA

Runs all relevant functions for ARIMA modelling

ARIMA(
  y,
  u = NULL,
  model = NULL,
  cnst = NULL,
  s = frequency(y),
  criterion = "bic",
  h = 2 * s,
  verbose = FALSE,
  lambda = 1,
  maxOrders = c(3, 2, 3, 2, 1, 2),
  bootstrap = FALSE,
  nSimul = 5000,
  fast = FALSE
)

Arguments

• y: a time series to forecast (it may be either a numerical vector or a time series object). This is the only input required. If a vector, the additional input s should be supplied compulsorily (see below).
• u: a matrix of input time series. If the output wanted to be forecast, matrix u should contain future values for inputs.
• model: the model to estimate. A vector c(p,d,q,P,D,Q) containing the model orders of an ARIMA(p,d,q)x(P,D,Q)_s model. A constant may be estimated with the cnst input. Use a NULL to automatically identify the ARIMA model.
• cnst: flag to include a constant in the model (TRUE/FALSE/NULL). Use NULL to estimate
• s: seasonal period of time series (1 for annual, 4 for quarterly, ...)
• criterion: information criterion for identification stage ("aic", "bic", "aicc")
• h: forecast horizon. If the model includes inputs h is not used, the lenght of u is used instead.
• verbose: intermediate estimation output (TRUE / FALSE)
• lambda: Box-Cox lambda parameter (NULL: estimate)
• maxOrders: a vector c(p,d,q,P,D,Q) containing the maximum orders of model orders to search for in the automatic identification
• bootstrap: use bootstrap simulation for predictive distributions
• nSimul: number of simulation runs for bootstrap simulation of predictive distributions
• fast: fast identification (avoids post-identification checks)

Returns

An object of class ARIMA. See ARIMAforecast.

Details

See help of ARIMAforecast.

Examples

## Not run:

y <- log(AirPAssengers)
m1 <- ARIMA(y)
m1 <- ARIMA(y, lambda = NULL)
## End(Not run)

See Also

ARIMAforecast, ARIMAvalidate,

Author(s)

Diego J. Pedregal