Returns forecasts and other information for univariate ARIMA models.

# S3 method for fracdiff forecast(object, h = 10, level = c(80, 95), fan = FALSE, lambda = object$lambda, biasadj = NULL, ...) # S3 method for Arima forecast(object, h = ifelse(object$arma[5] > 1, 2 * object$arma[5], 10), level = c(80, 95), fan = FALSE, xreg = NULL, lambda = object$lambda, bootstrap = FALSE, npaths = 5000, biasadj = NULL, ...) # S3 method for ar forecast(object, h = 10, level = c(80, 95), fan = FALSE, lambda = NULL, bootstrap = FALSE, npaths = 5000, biasadj = FALSE, ...)

object | An object of class " |
---|---|

h | Number of periods for forecasting. If |

level | Confidence level for prediction intervals. |

fan | If |

lambda | Box-Cox transformation parameter. Ignored if NULL. Otherwise, forecasts back-transformed via an inverse Box-Cox transformation. |

biasadj | Use adjusted back-transformed mean for Box-Cox transformations. If TRUE, point forecasts and fitted values are mean forecast. Otherwise, these points can be considered the median of the forecast densities. By default, the value is taken from what was used when fitting the model. |

... | Other arguments. |

xreg | Future values of an regression variables (for class |

bootstrap | If |

npaths | Number of sample paths used in computing simulated prediction
intervals when |

An object of class "`forecast`

".

The function `summary`

is used to obtain and print a summary of the
results, while the function `plot`

produces a plot of the forecasts and
prediction intervals.

The generic accessor functions `fitted.values`

and `residuals`

extract useful features of the value returned by `forecast.Arima`

.

An object of class "`forecast`

" is a list containing at least the
following elements:

A list containing information about the fitted model

The name of the forecasting method as a character string

Point forecasts as a time series

Lower limits for prediction intervals

Upper limits for prediction intervals

The confidence values associated with the prediction intervals

The original time series
(either `object`

itself or the time series used to create the model
stored as `object`

).

Residuals from the fitted model. That is x minus fitted values.

Fitted values (one-step forecasts)

For `Arima`

or `ar`

objects, the function calls
`predict.Arima`

or `predict.ar`

and
constructs an object of class "`forecast`

" from the results. For
`fracdiff`

objects, the calculations are all done within
`forecast.fracdiff`

using the equations given by Peiris and
Perera (1988).

Peiris, M. & Perera, B. (1988), On prediction with fractionally
differenced ARIMA models, *Journal of Time Series Analysis*,
**9**(3), 215-220.

`predict.Arima`

,
`predict.ar`

, `auto.arima`

,
`Arima`

, `arima`

, `ar`

,
`arfima`

.

library(fracdiff) x <- fracdiff.sim( 100, ma=-.4, d=.3)$series fit <- arfima(x) plot(forecast(fit,h=30))