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. If `lambda="auto"`, then a transformation is automatically selected using `BoxCox.lambda`. The transformation is ignored if NULL. Otherwise, data transformed before model is estimated.
`biasadj` | Use adjusted back-transformed mean for Box-Cox transformations. If transformed data is used to produce forecasts and fitted values, a regular back transformation will result in median forecasts. If biasadj is TRUE, an adjustment will be made to produce mean forecasts and fitted values.
`...` | 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 8.4 Index]