`rwf()`

returns forecasts and prediction intervals for a random walk
with drift model applied to `y`

. This is equivalent to an ARIMA(0,1,0)
model with an optional drift coefficient. `naive()`

is simply a wrapper
to `rwf()`

for simplicity. `snaive()`

returns forecasts and
prediction intervals from an ARIMA(0,0,0)(0,1,0)m model where m is the
seasonal period.

rwf(y, h = 10, drift = FALSE, level = c(80, 95), fan = FALSE, lambda = NULL, biasadj = FALSE, bootstrap = FALSE, npaths = 5000, x = y) naive(y, h = 10, level = c(80, 95), fan = FALSE, lambda = NULL, biasadj = FALSE, bootstrap = FALSE, npaths = 5000, x = y) snaive(y, h = 2 * frequency(x), level = c(80, 95), fan = FALSE, lambda = NULL, biasadj = FALSE, bootstrap = FALSE, npaths = 5000, x = y)

y | a numeric vector or time series of class |
---|---|

h | Number of periods for forecasting |

drift | Logical flag. If TRUE, fits a random walk with drift model. |

level | Confidence levels for prediction intervals. |

fan | If TRUE, level is set to seq(51,99,by=3). This is suitable for fan plots. |

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. |

bootstrap | If TRUE, use a bootstrap method to compute prediction intervals. Otherwise, assume a normal distribution. |

npaths | Number of bootstrapped sample paths to use if |

x | Deprecated. Included for backwards compatibility. |

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 `naive`

or
`snaive`

.

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)

The random walk with drift model is $$Y_t=c + Y_{t-1} + Z_t$$ where \(Z_t\) is a normal iid error. Forecasts are
given by $$Y_n(h)=ch+Y_n$$. If there is no drift (as in
`naive`

), the drift parameter c=0. Forecast standard errors allow for
uncertainty in estimating the drift parameter (unlike the corresponding
forecasts obtained by fitting an ARIMA model directly).

The seasonal naive model is $$Y_t= Y_{t-m} + Z_t$$ where \(Z_t\) is a normal iid error.

gold.fcast <- rwf(gold[1:60], h=50) plot(gold.fcast)plot(naive(gold,h=50),include=200)plot(snaive(wineind))