ARIMA forecasting with auto.Arima() and xreg
A few points. One, you can just convert the entire matrix to a ts object and then isolate the variables later. Second, if you are using covariates in your arima model then you will need to provide them when you forecast out-of-sample. This may mean forecasting each of the covariates before generating forecasts for your variable of interest. In the example below I split the data into two samples for simplicity.
dta = read.csv("xdata.csv")[1:96,]
dta <- ts(dta, start = 1)
# to illustrate out of sample forecasting with covariates lets split the data
train <- window(dta, end = 90)
test <- window(dta, start = 91)
# fit model
covariates <- c("DayOfWeek", "Customers", "Open", "Promo", "SchoolHoliday")
fit <- auto.arima(train[,"Sales"], xreg = train[, covariates])
# forecast
fcast <- forecast(fit, xreg = test[, covariates])
ptim ktim
Updated on August 22, 2022Comments
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ptim ktim over 1 year
I am working on project to forecast sales of stores to learn forecasting.Till now I have successfully used simple auto.Arima() function for forecasting.But to make these forecast more accurate I can make use of covariates.I have defined covariates like holidays, promotion which affect on sales of store using xreg operator with the help of this post: How to setup xreg argument in auto.arima() in R?
But my code fails at line:
ARIMAfit <- auto.arima(saledata, xreg=covariates)
and gives error saying:
Error in model.frame.default(formula = x ~ xreg, drop.unused.levels = TRUE) : variable lengths differ (found for 'xreg') In addition: Warning message: In !is.na(x) & !is.na(rowSums(xreg)) : longer object length is not a multiple of shorter object length
Below is link to my Dataset: https://drive.google.com/file/d/0B-KJYBgmb044blZGSWhHNEoxaHM/view?usp=sharing
This is my code:
data = read.csv("xdata.csv")[1:96,] View(data) saledata <- ts(data[1:96,4],start=1) View(saledata) saledata[saledata == 0] <- 1 View(saledata) covariates = cbind(DayOfWeek=model.matrix(~as.factor(data$DayOfWeek)), Customers=data$Customers, Open=data$Open, Promo=data$Promo, SchoolHoliday=data$SchoolHoliday) View(head(covariates)) # Remove intercept covariates <- covariates[,-1] View(covariates) require(forecast) ARIMAfit <- auto.arima(saledata, xreg=covariates)//HERE IS ERROR LINE summary(ARIMAfit)
Also tell me how I can forecast for next 48 days.I know how to forecast using simple auto.Arima() and n.ahead but dont know how to do it when xreg is used.