CODEWITHSUNDEEP
rparameters
Summer-Jade Gleek'away
Summer-Jade Gleek'away

Reputation: 872

Run ARIMA model on data using parameters from auto.arima of different data

I want to take the parameters of the model of my full data and then run the model with those parameters against the 'in-sample' of the data but I don't know how to do that.

For example;

data<-c(79160.56266,91759.73029,91186.47551,106353.8192,70346.46525,80279.15139,82611.60076,131392.7209,93798.99391,105944.7752,103913.1296,154530.6937,110157.4025,117416.0942,127423.4206,156751.9979,120097.8068,121307.7534,115021.1187,150657.8258,113711.5282,115353.1395,112701.9846,154319.1785,116803.545,118352.535)
data<-ts(data,delta=1/4,start=c(8,1))
data<-log(data)
auto.arima(data,max.D=3,d=1,seasonal=TRUE,allowdrift=FALSE,stepwise=FALSE,trace=TRUE,seasonal.test="ch")

I need to extract the parameters/order of this to run arima on this data forcing the parameters to be the same as the extracted ones:

data2<-head(data,-4)
#arimab<-Arima(data2,order=order from auto.arima on full data)
#forecast(arimab,h=8,simulate=TRUE,fan=TRUE)

Can someone suggest how to firstly extract the parameters of the auto.arima and then how to run the model on 'data2' with those parameters.

Upvotes: 3

Views: 1807

Answers (2)

Mnl
Mnl

Reputation: 977

AutoArimaFit <- auto.arima( Data )

Extract parameters with

 arimaorder(AutoArimaFit)

Run the same Model with :

 Arima(Data , model = AutoArimaFit)

Upvotes: 2

Summer-Jade Gleek&#39;away
Summer-Jade Gleek&#39;away

Reputation: 872

think i have figured it out now...

data<-c(79160.56266,91759.73029,91186.47551,106353.8192,70346.46525,80279.15139,82611.60076,131392.7209,93798.99391,105944.7752,103913.1296,154530.6937,110157.4025,117416.0942,127423.4206,156751.9979,120097.8068,121307.7534,115021.1187,150657.8258,113711.5282,115353.1395,112701.9846,154319.1785,116803.545,118352.535)
data<-ts(data,delta=1/4,start=c(8,1))
data<-log(data)
aaw<-auto.arima(data,max.D=3,d=1,seasonal=TRUE,allowdrift=FALSE,stepwise=FALSE,trace=TRUE,seasonal.test="ch")
orderWA<-c(aaw$arma[1], aaw$arma[6] , aaw$arma[2])
orderWS <- c(aaw$arma[3], aaw$arma[7] , aaw$arma[4])

data2<-head(data,-4)
arimaa<-Arima(data2,order=orderWA,seasonal=orderWS,method="ML")

Upvotes: 4

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