Companion object for class ARIMA. Includes features related to differencing and automated order selection.
Attributes
Members list
Value members
Concrete methods
Return the 'd'th difference of the time-series for 'd' in {0, 1, 2, 3}. A new vector is returned even when there is no difference taken ('d = 0'), to ensure the original is preserved.
Return the 'd'th difference of the time-series for 'd' in {0, 1, 2, 3}. A new vector is returned even when there is no difference taken ('d = 0'), to ensure the original is preserved.
Value parameters
- d
-
the order of simple differencing
- y
-
the original time-series to be differenced
Attributes
Transform the fitted values on the training data of a differenced time series back to the original scale. Undo trend differencing only.
Transform the fitted values on the training data of a differenced time series back to the original scale. Undo trend differencing only.
Value parameters
- d
-
the order of simple differencing
- y
-
the original time-series vector
- yp
-
the vector of predicted/fitted values
Attributes
- See also
-
stats.stackexchange.com/questions/32634/difference-time-series-before-arima-or-within-arima
Transform the forecast values of a differenced time series back to the original scale.
Transform the forecast values of a differenced time series back to the original scale.
Value parameters
- d
-
the order of simple differencing
- t
-
the time point being forecasted (@see the 'forecast' method)
- y
-
the original time series
- yf
-
the vector of forecasted values
Attributes
- See also
-
stats.stackexchange.com/questions/32634/difference-time-series-before-arima-or-within-arima
Transform the forecasted values of a differenced time series back to the original for all horizons scale.
Transform the forecasted values of a differenced time series back to the original for all horizons scale.
Value parameters
- d
-
the order of simple differencing
- y
-
the original time-series vector
- ypa
-
the matrix of all multi-horizon forecasted values
Attributes
- See also
-
stats.stackexchange.com/questions/32634/difference-time-series-before-arima-or-within-arima