[R] Prediction errors from forecast()?

Laura Pyle laurapyle at gmail.com
Tue Sep 23 01:23:21 CEST 2008


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



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