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Use this tag for any *on-topic* question that (a) involves `R` either as a critical part of the question or expected answer, & (b) is not *just* about how to use `R`.

1 vote
2 answers
351 views

Why does my ARMA forecast get smaller over time?

I am a beginner to time series modeling but I am trying to build an ARMA model to describe a set of 24 observations. -6.73217 -2.86888 -5.37159 -6.51274 -4.17106 -5.7385 -3.34395 -1.94488 -5.46411 - …
Michael Howell's user avatar
0 votes
0 answers
28 views

How is R producing these ARIMA forecasts?

I am trying to understand what R is doing to produce forecasts for a particular ARIMA model I fitted. I used R to fit an ARIMA (1,0,0)(1,0,0)[5] error model with the following data. … 2.44369015 3.79962767 1.68364602 4.22746379 0.36932087 [103] 2.33035539 3.31986940 -0.29803386 4.31593086 2.18883434 0.64759198 [109] 2.44158613 1.65587246 -0.35450341 -0.12559422 3.60052663 R
Michael Howell's user avatar
3 votes
1 answer
2k views

How does the R function Arima () calculate drift?

The Arima() function in the R forecast package contains an "include.drift" parameter. Could someone explain how this is calculated and how it is included in point forecasts? …
Michael Howell's user avatar
0 votes
0 answers
20 views

Discrepancy between line plot and ACF plot for nonstationary time series

I understand that when the ACF of a nonstationary time series is plotted it should show a very slow decay. I have data that clearly shows a trend, however the ACF shows a decay which seems to indicate …
Michael Howell's user avatar