[R] Best forecasting methods with Time Series ?

From: Ozcan Asilkan <oasilkan_at_gmail.com>
Date: Tue, 4 Dec 2007 13:28:18 +0100


In order to do a future forecast based on my past Time Series data sets (salespricesproduct1, salespricesproduct2, etc..), I used arima() functions with different parameter combinations which give the smallest AIC. I also used auto.arima() which finds the parameters with the smallest AICs. But unfortuanetly I could not get satisfactory forecast() results, even sometimes catastrophic results which made me very disappointed.

Note that, I basically use plot(forecast(auto.arima(invecTS), 24)) statement to construct model with arima, forecast 24 future values & plot the results.

Could you suggest me better forecasting methods that I can apply in R ?

Thanks, best regards..


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