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May 27th, 2016
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  1. library(forecast)
  2. data<-c(2,3,2,3,2,3)
  3.  
  4. forecast(Arima(data,order=c(0,0,0)))$mean
  5. [1] 2.5 2.5 2.5 2.5 2.5 2.5 2.5 2.5 2.5 2.5
  6.  
  7. forecast(Arima(data,order=c(0,0,0), lambda=0))$mean
  8. [1] 2.44949 2.44949 2.44949 2.44949 2.44949 2.44949 2.44949 2.44949 2.44949 2.44949
  9.  
  10. library(forecast)
  11.  
  12. fit <- auto.arima(AirPassengers, lambda=0)
  13. fc <- forecast(fit, h=50, level=95)
  14. fvar <- ((BoxCox(fc$upper,fit$lambda)-BoxCox(fc$lower,fit$lambda))/qnorm(0.975)/2)^2
  15. plot(fc)
  16. fc$mean <- fc$mean * (1 + 0.5*fvar)
  17. lines(fc$mean,col='red')
  18.  
  19. fit <- auto.arima(AirPassengers, lambda=0.2)
  20. fc <- forecast(fit, h=50, level=95)
  21. fvar <- ((BoxCox(fc$upper,fit$lambda)-BoxCox(fc$lower,fit$lambda))/qnorm(0.975)/2)^2
  22. plot(fc)
  23. fc$mean <- fc$mean * (1 + 0.5*fvar*(1-fit$lambda)/(fc$mean)^(2*fit$lambda))
  24. lines(fc$mean,col='red')
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