[R] predict.Arima question

From: Felipe Santos <felipehsantos_at_gmail.com>
Date: Thu 19 Oct 2006 - 14:40:14 GMT


Hi,

I am trying to forecast a model using predict.Arima

I found arima model for a data set: x={x1,x2,x3,...,x(t)}

arima_model = arima(x,order=c(1,0,1))

I am forecasting the next N lags using predict:

arima_pred = predict(arima_model,n.ahead = N, se.fit=T)

If I have one more point in my series, let's say x(t+1). I do not want to recalibrate themodel, I just want to forecast the next N-1 lags using the same model for x={x1,x2,...x(t)} but without recalibrate arima.

How to do it using arima + predict.Arima ?

My problem is that I am trying to fit arima models by brute force ( trying lots of combinations for p and q and chosing the best model by AIC and BIC ) I have a big time series and I am running calibration for some sub-sequence and I trying to forecast some points. I repeat this process for the next contiguous subsequence and try to forecast again, until the big series end.

Thanks
Felipe

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