[R] Manually reconstructing arima model from coefficients

[R. Michael Weylandt]

What exactly do you mean by "apply" it to a different data set?
Unlike regular regressions, time series models don't (generally) use
new data to make forecasts ...

By the way, this is a good guide to the time series functionality
available in R: http://cran.r-project.org/web/views/TimeSeries.html

Michael

On Tue, Apr 17, 2012 at 5:54 PM, sergey777 <ssamson at uwo.ca> wrote:
> Colleagues
>
> I am a new to R but already love it.
>
> I have the following problem:
> I fitted arima model to my time series like this (please ignore modeling
> parameters as they are not important now):
> x = scan("C:/data.txt")
> x = ts(x, start=1, frequency=1)
> x.fit<-arima(x, order = c(1,0,0), seasonal = list(order=c(0,0,1)))
>
> Now I want to use this model for forecasting and backtesting (!). My goal is
> to apply exactly this model to different data – another time series object,
> let’s call it “y”. How can I do this in R.
>
> One of the options is to extract coefficients and to create my own function
> that can be applied to any time series but I suspect and hope that there is
> a better way of doing this.
> If there is not an easy option can anyone suggest a complete equation that
> includes seasonal terms  that can be easily programmed (for example in C)
> for a person who knows some programming but very little math.
>
> Thank you.
>
>
> --
> View this message in context: http://r.789695.n4.nabble.com/Manually-reconstructing-arima-model-from-coefficients-tp4566082p4566082.html
> Sent from the R help mailing list archive at Nabble.com.
>
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.