TimeSeriesModel

TimeSeriesModel[]

represents the symbolic time series model obtained from TimeSeriesModelFit.

Details and Options

  • Properties of a time series model are obtained from TimeSeriesModel[]["property"].
  • The value of the model at time t can be obtained by giving model[t]. If t is in the range of the input data, then the data at time t is returned; otherwise, a forecasted value is given.
  • Forecast prediction limits at a time t can be obtained using model["PredictionLimits"][t].
  • Normal gives the underlying time series process for the time series model.
  • TimeSeriesModel[][prop,ann] gives the annotation ann associated with the property prop.
  • Possible time series model properties are listed on the page for TimeSeriesModelFit.

Examples

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Basic Examples  (1)

Create a TimeSeriesModel from some data:

Extract a property from the model:

Evaluate the time series model at time 100:

Use Normal to obtain the underlying time series process:

Obtain a list of available properties:

Scope  (7)

Extract a property from a TimeSeriesModel:

The BIC value for the model:

Obtain a list of properties:

Evaluate the time series model at a point:

Map over several points:

Evaluate the time series model at a date:

Obtain the underlying time series process:

Annotate a property:

Use the original data to simulate future observations with TimeSeriesModel:

Fit a model using TimeSeriesModelFit:

Use the best fit process to simulate 10 future observations:

No information about time stamps or initial values is passed to RandomFunction:

Simulate using TimeSeriesModel to use information given by the original data:

Wolfram Research (2014), TimeSeriesModel, Wolfram Language function, https://reference.wolfram.com/language/ref/TimeSeriesModel.html.

Text

Wolfram Research (2014), TimeSeriesModel, Wolfram Language function, https://reference.wolfram.com/language/ref/TimeSeriesModel.html.

BibTeX

@misc{reference.wolfram_2020_timeseriesmodel, author="Wolfram Research", title="{TimeSeriesModel}", year="2014", howpublished="\url{https://reference.wolfram.com/language/ref/TimeSeriesModel.html}", note=[Accessed: 03-December-2020 ]}

BibLaTeX

@online{reference.wolfram_2020_timeseriesmodel, organization={Wolfram Research}, title={TimeSeriesModel}, year={2014}, url={https://reference.wolfram.com/language/ref/TimeSeriesModel.html}, note=[Accessed: 03-December-2020 ]}

CMS

Wolfram Language. 2014. "TimeSeriesModel." Wolfram Language & System Documentation Center. Wolfram Research. https://reference.wolfram.com/language/ref/TimeSeriesModel.html.

APA

Wolfram Language. (2014). TimeSeriesModel. Wolfram Language & System Documentation Center. Retrieved from https://reference.wolfram.com/language/ref/TimeSeriesModel.html