[R] predict.arima

[Prof Brian Ripley]

On Sat, 8 Sep 2007, shao ran wrote:

> Hi *,
>
> Firstly, thank you so much for your time to read my email.
>
> I am currently interested in how to use R to predict time series from
> models fitted by ARIMA. The package I used is basic stats package, and the
> method I used is predict.Arima.
>
> What I know is that ARIMA parameters are estimated by Kalman Filter, but I
> have difficulty in understanding how exactly maximum likelihood (ML)
> estimator can be computed based on Kalman Filter, i.e. given a time series
> and an ARIMA model, how can I compute the ARIMA parameters for prediction.
>
> Could you please give me some help or provide some materials for it?

The help pages have references, so we already 'provide some materials'. 
This is standard theory for time series, and the Durbin-Koopman reference 
on those pages is a comprehensive monograph on the subject.

Finally, R is Open Source so we also provide the definitive reference, 
the sources.

-- 
Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272866 (PA)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595