[R] comparing ARIMA model to data

Andrew Collier collierab at gmail.com
Thu Apr 7 13:34:47 CEST 2011


i am trying to teach myself about ARIMA models. i have followed examples
from a number of sources and have more or less got the hang of how it
works. i would like to compare the output from the fitted model to the
original data. is this possible? or even a meaningful thing to do?

to be clear, for example, having generated a fit to some data using

> fit <- arima(LakeHuron, order = c(1, 0, 1))

and then plotting the data with

> plot(LakeHuron)

is it possible to overlay the output of the model on the original data
to compare how well it captures the variations in the data? i know that
predict can be used to extrapolate beyond the end of the data series,
but i want to evaluate the model within (not beyond) the original data.

best regards,

Andrew B. Collier

Waves and Space Plasmas Group
Hermanus Magnetic Observatory

Honorary Senior Lecturer                             tel: +27 31 2601157
Space Physics Research Institute                     fax: +27 31 2607795
University of KwaZulu-Natal, Durban, South Africa    gsm: +27 83 3813655

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