Forecast the actual values of a transformed time series in ARIMAX model in R
I am fitting an ARIMAx model to my time series data. The "data" includes "Rate" as the outcome and x1, x2, and x3 as covariates and I have transformed the outcome using Box-Cox transformation. My data is split into a train and a test set and I want to forecast the test set with the actual values and not the transformed values. I have done the following:
data.train <- ts(data[1:24, ] , frequency = 4, start = c(2011, 4)
data.test <- ts(data[25:28, ], frequency = 4, start = c(2017, 4))
covariates <- c("x1", "x2", "x3")
xreg.train <- data.train[, covariates]
xreg.test <- data.test[, covariates]
outcome <- data.train[, "Rate"]
lambda <- BoxCox.lambda(outcome)
outcome.trans <- BoxCox(outcome, lambda)
fit <- auto.arima(outcome.trans, xreg = xreg.train, trace = TRUE, stepwise = FALSE, seasonal = TRUE)
Now I want to forecast the test set with the actual values and not the transformed values:
forecast.test <- predict(fit, newxreg = xreg.test, lambda = lambda)
Now the PROBLEM is that this predict function produces a forecast of the transformed values and not the actual values. How can I get the forecast of the actual values without doing the transformation myself.
r time-series transformation arima
edited Nov 23 '18 at 2:14
jsb
1,48911426
asked Nov 20 '18 at 17:51
sahboorsahboor
387
add a comment |
I am fitting an ARIMAx model to my time series data. The "data" includes "Rate" as the outcome and x1, x2, and x3 as covariates and I have transformed the outcome using Box-Cox transformation. My data is split into a train and a test set and I want to forecast the test set with the actual values and not the transformed values. I have done the following:
data.train <- ts(data[1:24, ] , frequency = 4, start = c(2011, 4)
data.test <- ts(data[25:28, ], frequency = 4, start = c(2017, 4))
covariates <- c("x1", "x2", "x3")
xreg.train <- data.train[, covariates]
xreg.test <- data.test[, covariates]
outcome <- data.train[, "Rate"]
lambda <- BoxCox.lambda(outcome)
outcome.trans <- BoxCox(outcome, lambda)
fit <- auto.arima(outcome.trans, xreg = xreg.train, trace = TRUE, stepwise = FALSE, seasonal = TRUE)
Now I want to forecast the test set with the actual values and not the transformed values:
forecast.test <- predict(fit, newxreg = xreg.test, lambda = lambda)
Now the PROBLEM is that this predict function produces a forecast of the transformed values and not the actual values. How can I get the forecast of the actual values without doing the transformation myself.
r time-series transformation arima
edited Nov 23 '18 at 2:14
jsb
1,48911426
asked Nov 20 '18 at 17:51
sahboorsahboor
387
add a comment |
I am fitting an ARIMAx model to my time series data. The "data" includes "Rate" as the outcome and x1, x2, and x3 as covariates and I have transformed the outcome using Box-Cox transformation. My data is split into a train and a test set and I want to forecast the test set with the actual values and not the transformed values. I have done the following:
data.train <- ts(data[1:24, ] , frequency = 4, start = c(2011, 4)
data.test <- ts(data[25:28, ], frequency = 4, start = c(2017, 4))
covariates <- c("x1", "x2", "x3")
xreg.train <- data.train[, covariates]
xreg.test <- data.test[, covariates]
outcome <- data.train[, "Rate"]
lambda <- BoxCox.lambda(outcome)
outcome.trans <- BoxCox(outcome, lambda)
fit <- auto.arima(outcome.trans, xreg = xreg.train, trace = TRUE, stepwise = FALSE, seasonal = TRUE)
Now I want to forecast the test set with the actual values and not the transformed values:
forecast.test <- predict(fit, newxreg = xreg.test, lambda = lambda)
Now the PROBLEM is that this predict function produces a forecast of the transformed values and not the actual values. How can I get the forecast of the actual values without doing the transformation myself.
r time-series transformation arima
edited Nov 23 '18 at 2:14
jsb
1,48911426
asked Nov 20 '18 at 17:51
sahboorsahboor
387
I am fitting an ARIMAx model to my time series data. The "data" includes "Rate" as the outcome and x1, x2, and x3 as covariates and I have transformed the outcome using Box-Cox transformation. My data is split into a train and a test set and I want to forecast the test set with the actual values and not the transformed values. I have done the following:
data.train <- ts(data[1:24, ] , frequency = 4, start = c(2011, 4)
data.test <- ts(data[25:28, ], frequency = 4, start = c(2017, 4))
covariates <- c("x1", "x2", "x3")
xreg.train <- data.train[, covariates]
xreg.test <- data.test[, covariates]
outcome <- data.train[, "Rate"]
lambda <- BoxCox.lambda(outcome)
outcome.trans <- BoxCox(outcome, lambda)
fit <- auto.arima(outcome.trans, xreg = xreg.train, trace = TRUE, stepwise = FALSE, seasonal = TRUE)
Now I want to forecast the test set with the actual values and not the transformed values:
forecast.test <- predict(fit, newxreg = xreg.test, lambda = lambda)
Now the PROBLEM is that this predict function produces a forecast of the transformed values and not the actual values. How can I get the forecast of the actual values without doing the transformation myself.
r time-series transformation arima
r time-series transformation arima
edited Nov 23 '18 at 2:14
jsb
1,48911426
asked Nov 20 '18 at 17:51
sahboorsahboor
387
edited Nov 23 '18 at 2:14
jsb
1,48911426
asked Nov 20 '18 at 17:51
sahboorsahboor
387
edited Nov 23 '18 at 2:14
jsb
1,48911426
edited Nov 23 '18 at 2:14
jsb
1,48911426
edited Nov 23 '18 at 2:14
jsb
1,48911426
1,48911426
asked Nov 20 '18 at 17:51
sahboorsahboor
387
asked Nov 20 '18 at 17:51
sahboorsahboor
387
asked Nov 20 '18 at 17:51
sahboorsahboor
387
387
add a comment |
add a comment |
1 Answer
1
active
oldest
votes
The forecast package does all this for you. But you need to use the forecast() function, not the predict() function.
data.train <- ts(data[1:24,] ,frequency=4, start=c(2011,4)
data.test <- ts(data[25:28,], frequency=4, start=c(2017,4))
covariates <- c("x1","x2","x3")
xreg.train <- data.train[, covariates]
xreg.test <- data.test[, covariates]
outcome <- data.train[,"Rate"]
lambda <- BoxCox.lambda(outcome)
fit<- auto.arima(outcome, xreg=xreg.train, lambda=lambda,
trace=TRUE, stepwise=FALSE, seasonal=TRUE, lambda=lambda)
forecast.test <- forecast(fit, xreg=xreg.test, lambda=lambda)
answered Nov 21 '18 at 11:07
Rob HyndmanRob Hyndman
20.3k64666
Rob when i use your command i get this error: Error in forecast(fit, newxreg = xreg.test, : unused arguments (newxreg = xreg.test, lambda = lambda) seems like it doesnt recognize the newxreg command within the forecast function
– sahboor
Nov 21 '18 at 13:32
1
Sorry. Now fixed. you need to use xreg, not newxreg, with forecast()
– Rob Hyndman
Nov 21 '18 at 20:00
thank you so much Rob, fixed
– sahboor
Nov 21 '18 at 21:30
add a comment |
Your Answer
StackExchange.ifUsing("editor", function () {
StackExchange.using("externalEditor", function () {
StackExchange.using("snippets", function () {
StackExchange.snippets.init();
});
});
}, "code-snippets");
StackExchange.ready(function() {
var channelOptions = {
tags: "".split(" "),
id: "1"
};
initTagRenderer("".split(" "), "".split(" "), channelOptions);
StackExchange.using("externalEditor", function() {
// Have to fire editor after snippets, if snippets enabled
if (StackExchange.settings.snippets.snippetsEnabled) {
StackExchange.using("snippets", function() {
createEditor();
});
}
else {
createEditor();
}
});
function createEditor() {
StackExchange.prepareEditor({
heartbeatType: 'answer',
autoActivateHeartbeat: false,
convertImagesToLinks: true,
noModals: true,
showLowRepImageUploadWarning: true,
reputationToPostImages: 10,
bindNavPrevention: true,
postfix: "",
imageUploader: {
brandingHtml: "Powered by u003ca class="icon-imgur-white" href="https://imgur.com/"u003eu003c/au003e",
contentPolicyHtml: "User contributions licensed under u003ca href="https://creativecommons.org/licenses/by-sa/3.0/"u003ecc by-sa 3.0 with attribution requiredu003c/au003e u003ca href="https://stackoverflow.com/legal/content-policy"u003e(content policy)u003c/au003e",
allowUrls: true
},
onDemand: true,
discardSelector: ".discard-answer"
,immediatelyShowMarkdownHelp:true
});
}
});
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
StackExchange.ready(
function () {
StackExchange.openid.initPostLogin('.new-post-login', 'https%3a%2f%2fstackoverflow.com%2fquestions%2f53398752%2fforecast-the-actual-values-of-a-transformed-time-series-in-arimax-model-in-r%23new-answer', 'question_page');
}
);
Post as a guest
Required, but never shown
1 Answer
1
active
oldest
votes
1 Answer
1
active
oldest
votes
active
oldest
votes
active
oldest
votes
The forecast package does all this for you. But you need to use the forecast() function, not the predict() function.
data.train <- ts(data[1:24,] ,frequency=4, start=c(2011,4)
data.test <- ts(data[25:28,], frequency=4, start=c(2017,4))
covariates <- c("x1","x2","x3")
xreg.train <- data.train[, covariates]
xreg.test <- data.test[, covariates]
outcome <- data.train[,"Rate"]
lambda <- BoxCox.lambda(outcome)
fit<- auto.arima(outcome, xreg=xreg.train, lambda=lambda,
trace=TRUE, stepwise=FALSE, seasonal=TRUE, lambda=lambda)
forecast.test <- forecast(fit, xreg=xreg.test, lambda=lambda)
answered Nov 21 '18 at 11:07
Rob HyndmanRob Hyndman
20.3k64666
Rob when i use your command i get this error: Error in forecast(fit, newxreg = xreg.test, : unused arguments (newxreg = xreg.test, lambda = lambda) seems like it doesnt recognize the newxreg command within the forecast function
– sahboor
Nov 21 '18 at 13:32
1
Sorry. Now fixed. you need to use xreg, not newxreg, with forecast()
– Rob Hyndman
Nov 21 '18 at 20:00
thank you so much Rob, fixed
– sahboor
Nov 21 '18 at 21:30
add a comment |
The forecast package does all this for you. But you need to use the forecast() function, not the predict() function.
data.train <- ts(data[1:24,] ,frequency=4, start=c(2011,4)
data.test <- ts(data[25:28,], frequency=4, start=c(2017,4))
covariates <- c("x1","x2","x3")
xreg.train <- data.train[, covariates]
xreg.test <- data.test[, covariates]
outcome <- data.train[,"Rate"]
lambda <- BoxCox.lambda(outcome)
fit<- auto.arima(outcome, xreg=xreg.train, lambda=lambda,
trace=TRUE, stepwise=FALSE, seasonal=TRUE, lambda=lambda)
forecast.test <- forecast(fit, xreg=xreg.test, lambda=lambda)
answered Nov 21 '18 at 11:07
Rob HyndmanRob Hyndman
20.3k64666
Rob when i use your command i get this error: Error in forecast(fit, newxreg = xreg.test, : unused arguments (newxreg = xreg.test, lambda = lambda) seems like it doesnt recognize the newxreg command within the forecast function
– sahboor
Nov 21 '18 at 13:32
1
Sorry. Now fixed. you need to use xreg, not newxreg, with forecast()
– Rob Hyndman
Nov 21 '18 at 20:00
thank you so much Rob, fixed
– sahboor
Nov 21 '18 at 21:30
add a comment |
The forecast package does all this for you. But you need to use the forecast() function, not the predict() function.
data.train <- ts(data[1:24,] ,frequency=4, start=c(2011,4)
data.test <- ts(data[25:28,], frequency=4, start=c(2017,4))
covariates <- c("x1","x2","x3")
xreg.train <- data.train[, covariates]
xreg.test <- data.test[, covariates]
outcome <- data.train[,"Rate"]
lambda <- BoxCox.lambda(outcome)
fit<- auto.arima(outcome, xreg=xreg.train, lambda=lambda,
trace=TRUE, stepwise=FALSE, seasonal=TRUE, lambda=lambda)
forecast.test <- forecast(fit, xreg=xreg.test, lambda=lambda)
answered Nov 21 '18 at 11:07
Rob HyndmanRob Hyndman
20.3k64666
The forecast package does all this for you. But you need to use the forecast() function, not the predict() function.
data.train <- ts(data[1:24,] ,frequency=4, start=c(2011,4)
data.test <- ts(data[25:28,], frequency=4, start=c(2017,4))
covariates <- c("x1","x2","x3")
xreg.train <- data.train[, covariates]
xreg.test <- data.test[, covariates]
outcome <- data.train[,"Rate"]
lambda <- BoxCox.lambda(outcome)
fit<- auto.arima(outcome, xreg=xreg.train, lambda=lambda,
trace=TRUE, stepwise=FALSE, seasonal=TRUE, lambda=lambda)
forecast.test <- forecast(fit, xreg=xreg.test, lambda=lambda)
answered Nov 21 '18 at 11:07
Rob HyndmanRob Hyndman
20.3k64666
edited Nov 21 '18 at 19:59
answered Nov 21 '18 at 11:07
Rob HyndmanRob Hyndman
20.3k64666
answered Nov 21 '18 at 11:07
Rob HyndmanRob Hyndman
20.3k64666
answered Nov 21 '18 at 11:07
Rob HyndmanRob Hyndman
20.3k64666
20.3k64666
Rob when i use your command i get this error: Error in forecast(fit, newxreg = xreg.test, : unused arguments (newxreg = xreg.test, lambda = lambda) seems like it doesnt recognize the newxreg command within the forecast function
– sahboor
Nov 21 '18 at 13:32
1
Sorry. Now fixed. you need to use xreg, not newxreg, with forecast()
– Rob Hyndman
Nov 21 '18 at 20:00
thank you so much Rob, fixed
– sahboor
Nov 21 '18 at 21:30
add a comment |
Rob when i use your command i get this error: Error in forecast(fit, newxreg = xreg.test, : unused arguments (newxreg = xreg.test, lambda = lambda) seems like it doesnt recognize the newxreg command within the forecast function
– sahboor
Nov 21 '18 at 13:32
1
Sorry. Now fixed. you need to use xreg, not newxreg, with forecast()
– Rob Hyndman
Nov 21 '18 at 20:00
thank you so much Rob, fixed
– sahboor
Nov 21 '18 at 21:30
Rob when i use your command i get this error: Error in forecast(fit, newxreg = xreg.test, : unused arguments (newxreg = xreg.test, lambda = lambda) seems like it doesnt recognize the newxreg command within the forecast function
– sahboor
Nov 21 '18 at 13:32
Rob when i use your command i get this error: Error in forecast(fit, newxreg = xreg.test, : unused arguments (newxreg = xreg.test, lambda = lambda) seems like it doesnt recognize the newxreg command within the forecast function
– sahboor
Nov 21 '18 at 13:32
1
1
Sorry. Now fixed. you need to use xreg, not newxreg, with forecast()
– Rob Hyndman
Nov 21 '18 at 20:00
Sorry. Now fixed. you need to use xreg, not newxreg, with forecast()
– Rob Hyndman
Nov 21 '18 at 20:00
thank you so much Rob, fixed
– sahboor
Nov 21 '18 at 21:30
thank you so much Rob, fixed
– sahboor
Nov 21 '18 at 21:30
add a comment |
Thanks for contributing an answer to Stack Overflow!
- Please be sure to answer the question. Provide details and share your research!
But avoid …
- Asking for help, clarification, or responding to other answers.
- Making statements based on opinion; back them up with references or personal experience.
To learn more, see our tips on writing great answers.
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
StackExchange.ready(
function () {
StackExchange.openid.initPostLogin('.new-post-login', 'https%3a%2f%2fstackoverflow.com%2fquestions%2f53398752%2fforecast-the-actual-values-of-a-transformed-time-series-in-arimax-model-in-r%23new-answer', 'question_page');
}
);
Post as a guest
Required, but never shown
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
