R: Forecasting time series

mforecast {forecast} | R Documentation

## Forecasting time series

### Description

`mforecast` is a class of objects for forecasting from multivariate time series or multivariate time series models. The function invokes particular methods which depend on the class of the first argument.

For example, the function `forecast.mlm` makes multivariate forecasts based on the results produced by `tslm`.

### Usage

    ## S3 method for class 'mts'
    forecast(object, h=ifelse(frequency(object)>1, 2*frequency(object), 10),
            level=c(80,95), fan=FALSE, robust=FALSE, lambda = NULL, find.frequency = FALSE,
            allow.multiplicative.trend=FALSE, ...)

### Arguments

`object` | a multivariate time series or multivariate time series model for which forecasts are required
`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.
`robust` | If TRUE, the function is robust to missing values and outliers in `object`. This argument is only valid when `object` is of class `mts`.
`lambda` | Box-Cox transformation parameter.
`find.frequency` | If TRUE, the function determines the appropriate period, if the data is of unknown period.
`allow.multiplicative.trend` | If TRUE, then ETS models with multiplicative trends are allowed. Otherwise, only additive or no trend ETS models are permitted.
`...` | Additional arguments affecting the forecasts produced.

### Value

An object of class "`mforecast`".

The function `summary` is used to obtain and print a summary of the results, while the function `plot` produces a plot of the multivariate forecasts and prediction intervals.

The generic accessors functions `fitted.values` and `residuals` extract various useful features of the value returned by `forecast$model`.

An object of class `"mforecast"` is a list usually 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. For models with additive errors, the residuals will be x minus the fitted values.
`fitted` | Fitted values (one-step forecasts)

### Author(s)

Rob J Hyndman & Mitchell O'Hara-Wild

### See Also

Other functions which return objects of class `"mforecast"` are `forecast.mlm`, `forecast.varest`.

[Package forecast version 8.0 Index]