AdjustTimeSeriesForecast

AdjustTimeSeriesForecast[tproc,forecast,newdata]
adjusts forecast using new observations newdata according to the time series model tproc.

DetailsDetails

  • AdjustTimeSeriesForecast returns the object of the same type as given in forecast.
  • In AdjustTimeSeriesForecast[tproc,forecast,newdata], forecast can be given in the following forms:
  • {s0,}a path with state at time i
    {{t0,s0},}a path with state at time
    TemporalData[]one or several paths
  • The times and states must belong to the time and state domain of the process tproc.
  • When the forecast is given as an object containing time stamps, the newdata is aligned according to the time stamps. If the forecast is given as a vector, any time stamps coming with the newdata are ignored, and both the forecast and the newdata are treated as lists of consecutive observations starting at the same point in time. When the newdata carries no time information, the time stamps are created starting with the first time stamp of the forecast.
  • AdjustTimeSeriesForecast may give unreliable results for non-weakly stationary time series models.

ExamplesExamplesopen allclose all

Basic Examples  (3)Basic Examples  (3)

Update the forecast for an MA process with one new data point:

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Update the forecast for an AR process with two new data points:

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Update the forecast for a stationary SARMA process:

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Create a forecast for 20 steps ahead:

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Update the forecast with two new data points:

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Introduced in 2012
(9.0)