Lähde: Rob Hyndman, http://www.r-bloggers.
com/constants-and-arima-models-in-r/ (jos aihe
kiinnostaa laajemmin, ks. OTexts.com/fpp/).
A non-seasonal ARIMA model can be written as
(1)
or equivalently as
(2)
where is the backshift operator, and is the mean of .
R uses the parametrization of equation (2).
Thus, the inclusion of a constant in a non-stationary ARIMA model is equivalent to inducing a
polynomial trend of order in the forecast function. (If the constant is omitted, the forecast
function includes a polynomial trend of order .) When , we have the special case
that is the mean of .
Including constants in ARIMA models using R
arima()
By default, the arima() command in R sets when and provides an estimate of
when . The parameter is called the “intercept” in the R output. It will be close to the
sample mean of the time series, but usually not identical to it as the sample mean is not the
maximum likelihood estimate when .
The arima() command has an argument include.mean which only has an effect when
and is TRUE by default. Setting include.mean=FALSE will force .
Arima()
The Arima() command from the forecast package provides more flexibility on the inclusion of a
constant. It has an argument include.mean which has identical functionality to the
corresponding argument for arima(). It also has an argument include.drift which allows
when . For , no constant is allowed as a quadratic or higher order trend is
particularly dangerous when forecasting. The parameter is called the “drift” in the R output
when .
There is also an argument include.constant which, if TRUE, will set include.mean=TRUE if
and include.drift=TRUE when . If include.constant=FALSE, both
include.mean and include.drift will be set to FALSE. If include.constant is used, the
values of include.mean=TRUE and include.drift=TRUE are ignored.
When and include.drift=TRUE, the fitted model from Arima() is
In this case, the R output will label as the “intercept” and as the “drift” coefficient.
auto.arima()
The auto.arima() function automates the inclusion of a constant. By default, for or
, a constant will be included if it improves the AIC value; for the constant is always
omitted. If allowdrift=FALSE is specified, then the constant is only allowed when .
Eventual forecast functions
The eventual forecast function (EFF) is the limit of as a function of the forecast horizon
as .
The constant has an important effect on the long-term forecasts obtained from these models.
If and , the EFF will go to zero.
If and , the EFF will go to a non-zero constant determined by the last few
observations.
If and , the EFF will follow a straight line with intercept and slope
determined by the last few observations.
If and , the EFF will go to the mean of the data.
If and , the EFF will follow a straight line with slope equal to the mean of
the differenced data.
If and , the EFF will follow a quadratic trend.
Seasonal ARIMA models
If a seasonal model is used, all of the above will hold with replaced by where is the
order of seasonal differencing and is the order of non-seasonal differencing.
