::Free Statistics and Forecasting Software::

v1.2.1

 

:: ARIMA Forecasting - Free Statistics Software (Calculator) ::

All rights reserved. The non-commercial (academic) use of this software is free of charge. The only thing that is asked in return is to cite this software when results are used in publications.

This free online software (calculator) computes the extrapolation forecasts of a univariate ARIMA model for a time series Y[t] (for t = 1, 2, ..., T). The user may specify a cut-off period K which implies that the ARIMA model is estimated based on Y[t] for t = 1, 2, ..., T-K and such that the extrapolation forecast F[t] for t = T-K+1, ..., T is computed and compared with the actual values that were dropped: various extrapolation forecast statistics are computed (MPE, RMSE, MAPE, ...). In addition, the following probabilities are computed: P(F[t]>Y[t-1]), P(F[t]>Y[t-s]), and P(F[t]>Y[T-K]).

Enter (or paste) your data delimited by hard returns.

Send output to:
Data
[reset data]
 
Sample Range:
(leave blank to include all observations)
From:
To:
Testing Period (?)
Box-Cox lambda transformation parameter (lambda) 
Degree of non-seasonal differencing (d) 
Degree of seasonal differencing (D) 
Seasonal period (s) 
AR(p) order 
MA(q) order 
SAR(P) order 
SMA(Q) order 
Include mean? 
Chart options
Width:
Height:



Source code of R module
Top | Output | Charts | References



Cite this software as:
Wessa P., (2021), ARIMA Forecasting (v1.0.11) in Free Statistics Software (v1.2.1), Office for Research Development and Education, URL http://www.wessa.net/rwasp_arimaforecasting.wasp/
The R code is based on :
Borghers, E, and P. Wessa, Statistics - Econometrics - Forecasting, Office for Research Development and Education, http://www.xycoon.com/
Hyndman, R. J. and Koehler A. B. (2006). Another look at measures of forecast accuracy. International Journal of Forecasting volume 22 issue 4, pages 679-688
Top | Output | Charts | References

To cite Wessa.net in publications use:
Wessa, P. (2024), Free Statistics Software, Office for Research Development and Education,
version 1.2.1, URL https://www.wessa.net/

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Software Version : 1.2.1
Algorithms & Software : Patrick Wessa, PhD
Server : supernova.wessa.net

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