Re: [R] time series transformation....
Dear ERic,
THanks a lot!
THanking you,
Yours sincerely,
AKSHAY M KULKARNI
From: Eric Berger
Sent: Monday, August 14, 2023 11:04 PM
To: akshay kulkarni
Cc: R help Mailing list
Subject: Re: [R] time series transformation
Hi Akshay,
If you do
> help(package="forecast")
you will find that arfima is listed. Unfortunately, I don't see any
ARCH-type models there, but you should check out the help page
results.
Good luck,
Eric
On Mon, Aug 14, 2023 at 8:04 PM akshay kulkarni wrote:
>
> Dear Eric,
> THanks for the reply...will this also work with arfima() ?
> What if I want to fit a model like GARCH and friends?
>
> THanking you,
> Yours sincerely,
> AKSHAY M KULKARNI
>
> From: Eric Berger
> Sent: Sunday, August 13, 2023 10:34 AM
> To: akshay kulkarni
> Cc: R help Mailing list
> Subject: Re: [R] time series transformation
>
> Hi Akshay,
> The forecast package will do the BoxCox transform and automatically
> backtransform the forecasts.
> The package also handles xts objects.
> For example, modifying the example from the help page of
> forecast::forecast for Arima
>
> > dt <- as.Date("2023-01-01") + 1:length(WWWusage)
> > a <- xts(WWWusage, order.by=dt)
> > fit1 <- Arima(a, c(3,1,0))
> > fit2 <- Arima(a, lambda=0.5, c(3,1,0)) ## applies the Box-Cox transform
> > with lambda=0.5
> > par(mfrow=c(1,2))
> > plot(forecast(fit1))
> > plot(forecast(fit2))
>
> HTH,
> Eric
>
> p.s. RJH is the author/maintainer of the forecast package
>
>
> On Sun, Aug 13, 2023 at 1:01 AM akshay kulkarni wrote:
> >
> > dear members,
> > I have a heteroscedastic time series which I want
> > to transform to make it homoscedastic by a box cox transformation. I am
> > using Otexts by RJ hyndman and George Athanopolous as my textbook. They
> > discuss transformation and also say the fpp3 and the fable package
> > automatically back transforms the point forecast. they also discuss the
> > process which I find to be very cumbersome. Is there any R package which
> > automatically back transforms the point forecast when I use xts objects (
> > RJH and GA use tsibble objects) with arfima/arima in the forecast package?
> >
> > THanking you,
> > Yours sincerely,
> > AKSHAY M KULKARNI
> >
> > [[alternative HTML version deleted]]
> >
> > __
> > R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see
> > 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.
[[alternative HTML version deleted]]
__
R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see
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.
Re: [R] time series transformation....
Hi Akshay,
If you do
> help(package="forecast")
you will find that arfima is listed. Unfortunately, I don't see any
ARCH-type models there, but you should check out the help page
results.
Good luck,
Eric
On Mon, Aug 14, 2023 at 8:04 PM akshay kulkarni wrote:
>
> Dear Eric,
> THanks for the reply...will this also work with arfima() ?
> What if I want to fit a model like GARCH and friends?
>
> THanking you,
> Yours sincerely,
> AKSHAY M KULKARNI
>
> From: Eric Berger
> Sent: Sunday, August 13, 2023 10:34 AM
> To: akshay kulkarni
> Cc: R help Mailing list
> Subject: Re: [R] time series transformation
>
> Hi Akshay,
> The forecast package will do the BoxCox transform and automatically
> backtransform the forecasts.
> The package also handles xts objects.
> For example, modifying the example from the help page of
> forecast::forecast for Arima
>
> > dt <- as.Date("2023-01-01") + 1:length(WWWusage)
> > a <- xts(WWWusage, order.by=dt)
> > fit1 <- Arima(a, c(3,1,0))
> > fit2 <- Arima(a, lambda=0.5, c(3,1,0)) ## applies the Box-Cox transform
> > with lambda=0.5
> > par(mfrow=c(1,2))
> > plot(forecast(fit1))
> > plot(forecast(fit2))
>
> HTH,
> Eric
>
> p.s. RJH is the author/maintainer of the forecast package
>
>
> On Sun, Aug 13, 2023 at 1:01 AM akshay kulkarni wrote:
> >
> > dear members,
> > I have a heteroscedastic time series which I want
> > to transform to make it homoscedastic by a box cox transformation. I am
> > using Otexts by RJ hyndman and George Athanopolous as my textbook. They
> > discuss transformation and also say the fpp3 and the fable package
> > automatically back transforms the point forecast. they also discuss the
> > process which I find to be very cumbersome. Is there any R package which
> > automatically back transforms the point forecast when I use xts objects (
> > RJH and GA use tsibble objects) with arfima/arima in the forecast package?
> >
> > THanking you,
> > Yours sincerely,
> > AKSHAY M KULKARNI
> >
> > [[alternative HTML version deleted]]
> >
> > __
> > R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see
> > 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.
__
R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see
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.
Re: [R] time series transformation....
Dear Eric,
THanks for the reply...will this also work with arfima() ?
What if I want to fit a model like GARCH and friends?
THanking you,
Yours sincerely,
AKSHAY M KULKARNI
From: Eric Berger
Sent: Sunday, August 13, 2023 10:34 AM
To: akshay kulkarni
Cc: R help Mailing list
Subject: Re: [R] time series transformation
Hi Akshay,
The forecast package will do the BoxCox transform and automatically
backtransform the forecasts.
The package also handles xts objects.
For example, modifying the example from the help page of
forecast::forecast for Arima
> dt <- as.Date("2023-01-01") + 1:length(WWWusage)
> a <- xts(WWWusage, order.by=dt)
> fit1 <- Arima(a, c(3,1,0))
> fit2 <- Arima(a, lambda=0.5, c(3,1,0)) ## applies the Box-Cox transform with
> lambda=0.5
> par(mfrow=c(1,2))
> plot(forecast(fit1))
> plot(forecast(fit2))
HTH,
Eric
p.s. RJH is the author/maintainer of the forecast package
On Sun, Aug 13, 2023 at 1:01 AM akshay kulkarni wrote:
>
> dear members,
> I have a heteroscedastic time series which I want to
> transform to make it homoscedastic by a box cox transformation. I am using
> Otexts by RJ hyndman and George Athanopolous as my textbook. They discuss
> transformation and also say the fpp3 and the fable package automatically back
> transforms the point forecast. they also discuss the process which I find to
> be very cumbersome. Is there any R package which automatically back
> transforms the point forecast when I use xts objects ( RJH and GA use tsibble
> objects) with arfima/arima in the forecast package?
>
> THanking you,
> Yours sincerely,
> AKSHAY M KULKARNI
>
> [[alternative HTML version deleted]]
>
> __
> R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see
> 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.
[[alternative HTML version deleted]]
__
R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see
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.
Re: [R] time series transformation....
Hi Akshay,
The forecast package will do the BoxCox transform and automatically
backtransform the forecasts.
The package also handles xts objects.
For example, modifying the example from the help page of
forecast::forecast for Arima
> dt <- as.Date("2023-01-01") + 1:length(WWWusage)
> a <- xts(WWWusage, order.by=dt)
> fit1 <- Arima(a, c(3,1,0))
> fit2 <- Arima(a, lambda=0.5, c(3,1,0)) ## applies the Box-Cox transform with
> lambda=0.5
> par(mfrow=c(1,2))
> plot(forecast(fit1))
> plot(forecast(fit2))
HTH,
Eric
p.s. RJH is the author/maintainer of the forecast package
On Sun, Aug 13, 2023 at 1:01 AM akshay kulkarni wrote:
>
> dear members,
> I have a heteroscedastic time series which I want to
> transform to make it homoscedastic by a box cox transformation. I am using
> Otexts by RJ hyndman and George Athanopolous as my textbook. They discuss
> transformation and also say the fpp3 and the fable package automatically back
> transforms the point forecast. they also discuss the process which I find to
> be very cumbersome. Is there any R package which automatically back
> transforms the point forecast when I use xts objects ( RJH and GA use tsibble
> objects) with arfima/arima in the forecast package?
>
> THanking you,
> Yours sincerely,
> AKSHAY M KULKARNI
>
> [[alternative HTML version deleted]]
>
> __
> R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see
> 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.
__
R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see
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.
