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Returns range of summary measures of the forecast accuracy. If out.sample is provided, the
function measures test set forecast accuracy. If out.sample is not provided, the function only
produces training set accuracy measures.
Usage
ATA.Accuracy(ata.output, out.sample = NULL)
Arguments
Value
Matrix giving forecast accuracy measures.
Author(s)
Ali Sabri Taylan and Hanife Taylan Selamlar
References
Hyndman, R.J. and Koehler, A.B. (2006) "Another look at measures of forecast
accuracy".International Journal of Forecasting, 22(4), 679-688. Hyndman, R.J. and Athanasopoulos,
G. (2014) "Forecasting: principles and practice", OTexts. Section 2.5 "Evaluating forecast
accuracy". http://www.otexts.org/fpp/2/5.
See Also
Examples
This function is upgraded version of ndiffs and nsdiffs written by Hyndman et al. forecast
package. Please review manual and vignette documents of latest forecast package.
ndiffs and nsdiffs functions to estimate the number of differences required to make a given time
series stationary.
If uroot.test="kpss", the KPSS test is used with the null hypothesis that x has a stationary root
against a unit-root alternative. Then the test returns the least number of differences required to pass
the test at the level uroot.alpha. If uroot.test="adf", the Augmented Dickey-Fuller test is used
and if uroot.test="pp" the Phillips-Perron test is used. In both of these cases, the null hypothesis
is that x has a unit root against a stationary root alternative. Then the test returns the least number of
differences required to fail the test at the level alpha.
nsdiffs estimates the number of seasonal differences necessary. nsdiffs uses seasonal unit root
tests to determine the number of seasonal differences required for time series to be made stationary.
Usage
ATA.Seasonality(input, ppy, attr_set)
Value
TRUE if the data has seasonality. Otherwise, FALSE.
Author(s)
Ali Sabri Taylan and Hanife Taylan Selamlar
References
Dickey DA and Fuller WA (1979), "Distribution of the Estimators for Autoregressive Time Series with a
Unit Root", Journal of the American Statistical Association 74:427-431.
Kwiatkowski D, Phillips PCB, Schmidt P and Shin Y (1992) "Testing the Null Hypothesis of Stationarity
against the Alternative of a Unit Root", Journal of Econometrics 54:159-178.
Osborn DR, Chui APL, Smith J, and Birchenhall CR (1988) "Seasonality and the order of integration
for consumption", Oxford Bulletin of Economics and Statistics 50(4):361-377.
Osborn, D.R. (1990) "A survey of seasonality in UK macroeconomic variables", International Journal
of Forecasting, 6:327-336.
Said E and Dickey DA (1984), "Testing for Unit Roots in Autoregressive Moving Average Models of
Unknown Order", Biometrika 71:599-607. Wang, X, Smith, KA, Hyndman, RJ (2006) "Characteristic-
based clustering for time series data", Data Mining and Knowledge Discovery,13(3), 335-364.
Canova F and Hansen BE (1995) "Are Seasonal Patterns Constant over Time? A Test for Seasonal
Stability", Journal of Business and Economic Statistics 13(3):237-252.
Hylleberg S, Engle R, Granger C and Yoo B (1990) "Seasonal integration and cointegration.",Journal
of Econometrics 44(1), pp. 215-238.
See Also
forecast, ucra, tseries, uroot, stlplus, stR, stl, decompose, tbats, seasadj.
Usage
ATA.Forecast(y, h = NULL, out.sample = NULL, ci.level = 95,
negative.forecast = TRUE)
Arguments
negative.forecast Negative values are allowed for forecasting. Default value is TRUE. If
FALSE, all negative values for forecasting are set to 0.
Value
An object of class "forecast".
Author(s)
Ali Sabri Taylan and Hanife Taylan Selamlar
References
Yapar, G., (2016) "Modified simple exponential smoothing" Hacettepe University Journal of
Mathematics and Statistics Early Access. Doi:10.15672/HJMS.201614320580
Yapar, G., Capar, S., Selamlar, H. T., Yavuz, I., (2016) "Modified holt's linear trend
method"Hacettepe University Journal of Mathematics and Statistics Early Access. Doi:
10.15672/HJMS.2017.493
See Also
forecast, stlplus, stR, stl, decompose, tbats, seasadj.
Examples
ata.fit <- ATA(M3[[1899]]$x,M3[[1899]]$xx)
fc <- ATA.Forecast(ata.fit, h=18)