CODEWITHSUNDEEP
rtime-seriesdata-modelingforecasting
Vaibhav
Vaibhav

Reputation: 338

Auto-ARIMA function in R giving odd results

I have a day level dataset for 3 years, I ran auto.arima() in R on it for simple time series forecasting and it gave me a (2,1,2) model. When I used this model to predict the variable for the next 1 year the plot became constant after a few days, which can't be correct

As I have a daily data for 3 years, and a frequency of 364 days, is ARIMA incapable of handling daily data with large frequencies?

Any help will be appreciated

Upvotes: 1

Views: 1207

Answers (1)

KenHBS
KenHBS

Reputation: 7164

This sounds like you are trying to forecast too far into the future. The forecast for tomorrow is going to be accurate, but the forecast for the next day and the day after that are not going to be influenced much by the past data and they will therefore settle around some constant when trying to forecast too far into the future. "Too far into the future" probably means two or more time points.

Lets say you have data up until time point T+100, which you used to estimate your ARIMA(2,1,2) model. You can "forecast" the value for time T+1 by pretending you only have data until point T and use your ARIMA(2,1,2) model to forecast T+1. Then move ahead by one period in your data and pretend you only have data until time T+1 and "forecast" T+2. This way you can assess the forecasting accuracy of your ARIMA(2,1,2) model, for example by calculating the Mean Squared Error (MSE) of the "forecasts".

Upvotes: 0

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