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I have no experience in forecasting, so can anyone give me a step-by-step example or link to example-real values with ARMA forecasting method application?

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    $\begingroup$ What do you want to forecast? What textbook treatments have you looked at so far? What level of a treatment are you looking for? If you want theoretical, Brockwell & Davis is a good text. At a slightly lower level are the texts by Hamilton and by Box, Jenkens, and Reinsel. For a little more applied focus, see R. Tsay's financial time-series text. All or none of those may be what you're looking for, so it would help to expand your question to include more detail. $\endgroup$ – cardinal Sep 14 '11 at 9:14
  • $\begingroup$ You might want to see my response to : stats.stackexchange.com/questions/6498/… $\endgroup$ – IrishStat Sep 14 '11 at 11:25
  • $\begingroup$ I need a forecast of rail transport demand, but with fuzzy inputs. So, my, end aim is to make a fuzze forecast using FARMA, but since I have no experience in forecasting, I think that I have to learn something about ARMA and the pass to fuzzy case. As you know I am very new in this (exponential smoothing and simpler methods were the all my knowledge in forecasting), but after a few days of reading "Introduction to Time Series Analysis and Forecasting" by Montomery, I think that this will be my favourite subject in the future. $\endgroup$ – Nikola Sep 14 '11 at 16:56
  • $\begingroup$ The problem is, that I have a very little time for now, and I need a literature in which I have a step by step real example for ARMA, even better FARMA. $\endgroup$ – Nikola Sep 14 '11 at 16:57
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    $\begingroup$ @cardinal Your comment above looks like an answer to the question and actually a pretty good one. So why did you leave it as a comment? $\endgroup$ – Michael Chernick May 9 '12 at 4:18
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In R, you can look at the help documents for arima and auto.arima (from the forecast package) for some short examples of arima modeling.

For example:

fit <- auto.arima(WWWusage)
plot(forecast(fit,h=20))

auto.arima model

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