[R] Query regarding auto arima

[Achim Zeileis]

On Wed, 15 Jun 2011, siddharth arun wrote:

> I am using AUTO ARIMA for forecasting.

I assume you mean function auto.arima() from package "forecast".

> But it is not detecting 'seasonality term' of its own for any data.

Yes, it does so, if you supply a time series object with a frequency > 1.

> Is there any other method by which we can detect seasonality and its 
> frequency for any data?
>
> Is there any method through which seasonality and its frequency can be
> automatically detected from ACF plot?

Usually you _know_ the frequency (i.e., 12 for monthly and 4 for quarterly 
data etc.).

For example for the famous monthly "AirPassengers" series:

library("forecast")
auto.arima(AirPassengers)

which returns a seasonal ARIMA model. See ?auto.arima for tweaking its 
arguments as well as the accompanying paper

   http://www.jstatsoft.org/v27/i03/

for more details.
Z

>
> -- 
> Siddharth Arun,
> 4th Year Undergraduate student
> Industrial Engineering and Management,
> IIT Kharagpur
>
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