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ARIMA Forecast

*The author of this computation has been verified*

R Software Module: / (opens new window with default values)

Title produced by software: ARIMA Forecasting

Date of computation: Sat, 25 Dec 2010 19:37:25 +0000

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2010/Dec/25/t12933057457dkr6hfwf1lbl66.htm/, Retrieved Sat, 25 Dec 2010 20:35:47 +0100

BibTeX entries for LaTeX users:

@Manual{KEY,
    author = {{YOUR NAME}},
    publisher = {Office for Research Development and Education},
    title = {Statistical Computations at FreeStatistics.org, URL http://www.freestatistics.org/blog/date/2010/Dec/25/t12933057457dkr6hfwf1lbl66.htm/},
    year = {2010},
}
@Manual{R,
    title = {R: A Language and Environment for Statistical Computing},
    author = {{R Development Core Team}},
    organization = {R Foundation for Statistical Computing},
    address = {Vienna, Austria},
    year = {2010},
    note = {{ISBN} 3-900051-07-0},
    url = {http://www.R-project.org},
}

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Output produced by software:

Summary of computational transaction
Raw Input	view raw input (R code)
Raw Output	view raw output of R engine
Computing time	2 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Univariate ARIMA Extrapolation Forecast
time	Y[t]	F[t]	95% LB	95% UB	p-value (H0: Y[t] = F[t])	P(F[t]>Y[t-1])	P(F[t]>Y[t-s])	P(F[t]>Y[96])
84	115.348	-	-	-	-	-	-	-
85	131.284	-	-	-	-	-	-	-
86	134.701	-	-	-	-	-	-	-
87	127.193	-	-	-	-	-	-	-
88	87.077	-	-	-	-	-	-	-
89	72.744	-	-	-	-	-	-	-
90	77.542	-	-	-	-	-	-	-
91	78.005	-	-	-	-	-	-	-
92	85.329	-	-	-	-	-	-	-
93	86.041	-	-	-	-	-	-	-
94	96.384	-	-	-	-	-	-	-
95	116.678	-	-	-	-	-	-	-
96	160.672	-	-	-	-	-	-	-
97	152.364	157.7948	139.6448	175.9448	0.2788	0.378	0.9979	0.378
98	144.936	140.0086	120.3416	159.6756	0.3117	0.1091	0.7016	0.0197
99	122.974	130.8729	109.7978	151.9479	0.2313	0.0955	0.6339	0.0028
100	94.456	101.766	79.3713	124.1608	0.2612	0.0317	0.9007	0
101	82.491	91.8741	68.2332	115.515	0.2183	0.4153	0.9436	0
102	84.89	89.4236	64.599	114.2482	0.3602	0.7079	0.8259	0
103	85.277	91.7598	65.8055	117.7142	0.3122	0.698	0.8505	0
104	81.206	97.9465	70.9096	124.9834	0.1125	0.8208	0.8198	0
105	71.012	94.9735	66.8957	123.0513	0.0472	0.8317	0.7335	0
106	87.302	106.6637	77.5823	135.7452	0.096	0.9919	0.7558	1e-04
107	97.427	112.998	82.9464	143.0496	0.1549	0.9531	0.4052	9e-04
108	133.242	150.0518	119.0604	181.0431	0.1439	0.9996	0.2509	0.2509
109	137.064	156.1521	123.5419	188.7623	0.1256	0.9157	0.5901	0.3929
110	119.042	138.3659	104.666	172.0658	0.1305	0.5302	0.3512	0.0973
111	116.47	129.2302	94.4747	163.9857	0.2359	0.7172	0.6379	0.0381
112	96.028	100.1234	64.3435	135.9033	0.4112	0.1853	0.6219	5e-04
113	79.281	90.2314	53.4556	127.0072	0.2797	0.3787	0.66	1e-04
114	73.872	87.781	50.0355	125.5264	0.2351	0.6705	0.5597	1e-04
115	80.964	90.1171	51.4264	128.8079	0.3214	0.7947	0.5968	2e-04
116	86.739	96.3038	56.6903	135.9173	0.318	0.7761	0.7725	7e-04
117	89.997	93.3309	52.8156	133.8462	0.4359	0.6251	0.8599	6e-04
118	96.292	105.0211	63.6236	146.4185	0.3397	0.7616	0.7992	0.0042
119	101.355	111.3553	69.0942	153.6165	0.3214	0.7576	0.7409	0.0111
120	136.543	148.4091	105.3015	191.5167	0.2948	0.9838	0.7548	0.2886

Univariate ARIMA Extrapolation Forecast Performance
time	% S.E.	PE	MAPE	Sq.E	MSE	RMSE
97	0.0587	-0.0344	0	29.4934	0	0
98	0.0717	0.0352	0.0348	24.2792	26.8863	5.1852
99	0.0822	-0.0604	0.0433	62.392	38.7215	6.2227
100	0.1123	-0.0718	0.0504	53.4367	42.4003	6.5116
101	0.1313	-0.1021	0.0608	88.0426	51.5288	7.1784
102	0.1416	-0.0507	0.0591	20.5537	46.3663	6.8093
103	0.1443	-0.0706	0.0608	42.027	45.7464	6.7636
104	0.1408	-0.1709	0.0745	280.2438	75.0585	8.6636
105	0.1508	-0.2523	0.0943	574.1553	130.5137	11.4243
106	0.1391	-0.1815	0.103	374.8764	154.95	12.4479
107	0.1357	-0.1378	0.1062	242.4563	162.9051	12.7634
108	0.1054	-0.112	0.1067	282.5681	172.877	13.1483
109	0.1065	-0.1222	0.1079	364.3561	187.6062	13.6969
110	0.1243	-0.1397	0.1101	373.4144	200.8782	14.1732
111	0.1372	-0.0987	0.1094	162.8224	198.3412	14.0834
112	0.1823	-0.0409	0.1051	16.772	186.9931	13.6745
113	0.2079	-0.1214	0.106	119.9119	183.0471	13.5295
114	0.2194	-0.1585	0.109	193.459	183.6256	13.5509
115	0.2191	-0.1016	0.1086	83.7801	178.3705	13.3555
116	0.2099	-0.0993	0.1081	91.4856	174.0263	13.1919
117	0.2215	-0.0357	0.1047	11.1147	166.2686	12.8945
118	0.2011	-0.0831	0.1037	76.1964	162.1744	12.7348
119	0.1936	-0.0898	0.1031	100.0067	159.4715	12.6282
120	0.1482	-0.08	0.1021	140.8041	158.6937	12.5974

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/25/t12933057457dkr6hfwf1lbl66/16u8r1293305842.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/25/t12933057457dkr6hfwf1lbl66/16u8r1293305842.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/25/t12933057457dkr6hfwf1lbl66/224nz1293305842.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/25/t12933057457dkr6hfwf1lbl66/224nz1293305842.ps (open in new window)

Parameters (Session):

par1 = FALSE ; par2 = 0.5 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = 3 ; par7 = 1 ; par8 = 2 ; par9 = 1 ;

Parameters (R input):

par1 = 24 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = 0 ; par7 = 1 ; par8 = 0 ; par9 = 1 ; par10 = FALSE ;

R code (references can be found in the software module):

This work is licensed under a Creative Commons Attribution-Noncommercial-Share Alike 3.0 License.

Software written by Ed van Stee & Patrick Wessa

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