forecast.baggedModel: Forecasting using a bagged model
Description
Returns forecasts and other information for bagged models.
Usage
# S3 method for baggedModel
forecast(
object,
h = ifelse(frequency(object$y) > 1, 2 * frequency(object$y), 10),
...
)
Value
An object of class "forecast".
The function summary is used to obtain and print a summary of the
results, while the function plot produces a plot of the forecasts and
prediction intervals.
An object of class "forecast" is a list containing at least the
following elements:
model
A list containing information about the fitted model
method
The name of the forecasting method as a character string
mean
Point forecasts as a time series
lower
Lower limits for prediction intervals
upper
Upper limits for prediction intervals
level
The confidence values associated with the prediction intervals
x
The original time series (either object itself or the
time series used to create the model stored as object).
xreg
The external regressors used in fitting (if given).
residuals
Residuals from the fitted model. That
is x minus fitted values.
fitted
Fitted values (one-step forecasts)
Arguments
object
An object of class "baggedModel" resulting from a call to
baggedModel.
h
Number of periods for forecasting.
...
Other arguments, passed on to the forecast function of the original method
Author
Christoph Bergmeir, Fotios Petropoulos
Details
Intervals are calculated as min and max values over the point forecasts from
the models in the ensemble. I.e., the intervals are not prediction
intervals, but give an indication of how different the forecasts within the
ensemble are.
References
Bergmeir, C., R. J. Hyndman, and J. M. Benitez (2016). Bagging
Exponential Smoothing Methods using STL Decomposition and Box-Cox
Transformation. International Journal of Forecasting 32, 303-312.