Re: [R] predict.Arima question

From: Prof Brian Ripley <ripley_at_stats.ox.ac.uk>
Date: Thu 19 Oct 2006 - 16:11:59 GMT

On Thu, 19 Oct 2006, Felipe Santos wrote:

> 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 ?

The short answer is that you cannot. However, these are built on top of a Kalman filter implementation, and you could use the underlying C code. It would be easier to make use of a modification of predict.arima0, though.

[...]

-- 
Brian D. Ripley,                  ripley@stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272866 (PA)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595

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Received on Fri Oct 20 10:50:01 2006

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