This question was posed on crossvalidated.com: I have a monthly time series (for 2009–2012 non-stationary, with seasonality). I can use ARIMA (or ETS) to obtain point and interval forecasts for each month of 2013, but I am interested in forecasting the total for the whole year, including prediction intervals. Is there an easy way in R to obtain interval forecasts for the total for 2013? I’ve come across this problem before in my consulting work, although I don’t think I’ve ever published my solution. So here it is.
Posts Tagged ‘R’:
My new online forecasting book (written with George Athanasopoulos) is now completed. I previously described it on this blog nearly a year ago. In reality, an online book is never complete, and we plan to continually update it. But it is now at the point where it is suitable for course work, and contains exercises and references. We hope that users (especially other lecturers) will submit materials such as slides and exercises, that can be shared on the website. For those wanting a print version, we will be selling it via Amazon in the next few months. The online version will remain freely available. If other authors are interested in this publishing model, please see this page. The book is being published by OTexts, a new innovative publishing company I am establishing. The forecasting book is our first publication, but we have three others that should be online within the next month or two.
The ETS modelling framework developed in my 2002 IJF paper (with Koehler, Snyder and Grose), and in my 2008 Springer book (with Koehler, Ord and Snyder), is now available in EViews 8. I had no idea they were even working on it, so it was quite a surprise to be told that EViews now includes ETS models.
When I want to insert figures generated in R into a LaTeX document, it looks better if I first remove the white space around the figure. Unfortunately, R does not make this easy as the graphs are generated to look good on a screen, not in a document. There are two things that can be done to fix this problem.
It is common to fit a model using training data, and then to evaluate its performance on a test data set. When the data are time series, it is useful to compute one-step forecasts on the test data. For some reason, this is much more commonly done by people trained in machine learning rather than statistics. If you are using the forecast package in R, it is easily done with ETS and ARIMA models. For example: library(forecast) fit <- ets(trainingdata) fit2 <- ets(testdata, model=fit) onestep <- fitted(fit2) Note that the second call to ets does not involve the model being re-estimated. Instead, the model obtained in the first call is applied to the test data in the second call. This works because fitted values are one-step forecasts in a time series model. The same process works for ARIMA models when ets is replaced by Arima or auto.arima. Note that it does not work with the arima function from the stats package. One of the reasons I wrote Arima (in the forecast package) is to allow this sort of thing to be done.
I sometimes get asked about forecasting many time series automatically. Here is a recent email, for example: I have looked but cannot find any info on generating forecasts on multiple data sets in sequence. I have been using analysis services for sql server to generate fitted time series but it is too much of a black box (or I don’t know enough to tweak/manage the inputs). In short, what package should I research that will allow me to load data, generate a forecast (presumably best fit), export the forecast then repeat for a few thousand items. I have read that R does not like ‘loops’ but not sure if the current cpu power offsets that or not. Any guidance would be greatly appreciated. Thank you!!
A few days ago I released version 4.0 of the forecast package for R. There were quite a few changes and new features, so I thought it deserved a new version number. I keep a list of changes in the Changelog for the package, but I doubt that many people look at it. So for the record, here are the most important changes to the forecast package made since v3.0 was released.
I gave this talk last night to the Melbourne Users of R Network.
Updated: 21 November 2012 Make is a marvellous tool used by programmers to build software, but it can be used for much more than that. I use make whenever I have a large project involving R files and LaTeX files, which means I use it for almost all of the papers I write, and almost of the consulting reports I produce.
Forecasters are often met with skepticism. Almost every time I tell someone that I work in forecasting, they say something about forecasting the stock market, or forecasting the weather, usually suggesting that such forecasts are hopelessly inaccurate. In fact, forecasts of the weather are amazingly accurate given the complexity of the system, while anyone claiming to forecast the stock market deserves skepticism. So what is the difference between these two types of forecasts, and can we say anything about what can be reasonably be forecast and what can’t?