September 2017
Beginner to intermediate
560 pages
25h 18m
English
book
R Data Analysis Cookbook, Second Edition - Second Edition
by Kuntal Ganguly, Davor Lozić, Mzabalazo Z. Ngwenya, Andrew Bauman, Shanthi Viswanathan, Viswa Viswanathan
Content preview from R Data Analysis Cookbook, Second Edition - Second Edition
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How to do it...
To build an automated ARIMA model, follow these steps:
- Read the data. The file has monthly stock prices from Yahoo! Finance for Infosys between March 1999 and January 2015:
> infy <- read.csv("infy-monthly.csv")
- Create the time series object:
> infy.ts <- ts(infy$Adj.Close, start = c(1999,3), frequency = 12)
- Run the ARIMA model:
> infy.arima <- auto.arima(infy.ts)
- Summary of the ARIMA model is obtained as follows:
> summary(infy.arima)Series: infy.ts ARIMA(2,1,1)(1,0,1)[12] Coefficients: ar1 ar2 ma1 sar1 sma1 -0.7513 -0.0368 0.5580 -0.3977 0.4678s.e. 0.3945 0.1304 0.3881 0.8703 0.8476sigma^2 estimated as 4.687: log likelihood=-413.89AIC=839.79 AICc=840.25 BIC=859.27Training set error measures: ME RMSE MAE MPE MAPE ...
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