AutoReg

Install and import

npm install fintech-algorithms

import { forecastAutoReg } from "fintech-algorithms/statistical-time-series/forecast-models/autoreg";

Signature

forecastAutoReg(values, ar, intercept, horizon)

Worked example

executed Captured by running this function on the input its own test provides. Real output of real code — but not asserted against a published figure.

Input

[10, 12, 11]

[0.5]

5

2

Call

forecastAutoReg(values, ar, intercept, horizon)

Returns

object with 4 fields: forecast, fitted, residuals, state

{
  "forecast": [10.5, 10.25],
  "fitted": [null, 10, 11],
  "residuals": [null, 2, 0],
  "state": {
    "order": 1,
    "last_values": [11]
  }
}

Diagrams

How it works

This page states the contract — how to call it correctly. The article explains the concept: why it works, and where it breaks.

Read the article →

References

• statsmodels.tsa.ar_model.AutoReg — statsmodels developers
• Forecasting: Principles and Practice — ARIMA models — Rob J. Hyndman and George Athanasopoulos
• Forecasting: Principles and Practice — Evaluating point forecast accuracy — Rob J. Hyndman and George Athanasopoulos
• Forecasting: Principles and Practice — Time series cross-validation — Rob J. Hyndman and George Athanasopoulos
• Forecasting: Principles and Practice — Evaluating regression and residual behavior — Rob J. Hyndman and George Athanasopoulos