Message-ID: <df3bb2420809221623j1054650ev2739f78269bd468c@mail.gmail.com>
Date: 2008-09-22T23:23:21Z
From: Laura Pyle
Subject: Prediction errors from forecast()?
In-Reply-To: <df3bb2420809221613m51d72ab1xc3992c084bc070a8@mail.gmail.com>
Sorry, I am resending in plain text.
Hello,
I am using forecast() in the forecast package to predict future values
of an ARIMA model fit to a time series. I have read most of the
documentation for the forecast package, but I can't figure out how to
obtain the forecast variance for the predicted values. I tried using
the argument "se.fit=TRUE," hoping this would work since forecast()
calls predict().
Is there an easy way to do this? Sample code is below.
ar <- Arima(as.matrix(Y), order= c(1,0,0),include.drift=TRUE))
f <- forecast(ar,h=9,se.fit=TRUE)
summary(f)
Thanks,
Laura