R: Forecasting using Structural Time Series models

forecast.StructTS {forecast} | R Documentation

## Forecasting using Structural Time Series models

### Description

Returns forecasts and other information for univariate structural time series models.

### Usage

    ## S3 method for class 'StructTS'
    forecast(object,
        h=ifelse(object$coef["epsilon"] > 1e-10, 2*object$xtsp[3],10),
        level=c(80,95), fan=FALSE, lambda=NULL, biasadj=NULL, ...)

### Arguments

`object` | An object of class "`StructTS`". Usually the result of a call to `StructTS`.
`h` | Number of periods for forecasting
`level` | Confidence level 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.
`...` | Other arguments.

### Details

This function calls `predict.StructTS` and constructs an object of class "`forecast`" from the results.

### Value

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.StructTS`.

An object of class `"forecast"` is a list containing at least the following elements:

`model` | A list containing information about the fitted model
`method` | The name of the forecasting method as a character string
`mean` | Point forecasts as a time series
`lower` | Lower limits for prediction intervals
`upper` | Upper limits for prediction intervals
`level` | The confidence values associated with the prediction intervals
`x` | The original time series (either `object` itself or the time series used to create the model stored as `object`).
`residuals` | Residuals from the fitted model. That is x minus fitted values.
`fitted` | Fitted values (one-step forecasts)

### Author(s)

Rob J Hyndman

### See Also

`StructTS`.

### Examples

    fit <- StructTS(WWWusage,"level")
    plot(forecast(fit))

[Package forecast version 8.0 Index]