[R] R time series analysis

[matteodefelice]

lord12 wrote:
> 
> I have a data file with a given time series of price data and I would like
> to split the time series into a test set and training set. I would then
> like to build an ARIMA model on the training set and apply this model on
> test set. 
> 
I had recently the same problem and, after checking documentation and
mailing list archives, I discovered that it is not possible to apply the
same model on a different data set. Of course you can create the model on a
part of the dataset and then check the prediction with the remaining part,
as a testing set. But, if you have new data you and you want to apply the
same model on them...nothing! I checked the source code of ARIMA functions
but it was too complex and I hadn't enough time to learn all that stuff.
However I found a little workaround:

1. I calibrate the model on the "training part" 
2. I create a new model with the same parameters, using "fixed" (check arima
documentation) on the new data
3. go to step 2. every time you have new data

It worked for me. 
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