lord12 wrote: > > I have a data file with a given time series of price data and I would like > to split the time series into a test set and training set. I would then > like to build an ARIMA model on the training set and apply this model on > test set. > I had recently the same problem and, after checking documentation and mailing list archives, I discovered that it is not possible to apply the same model on a different data set. Of course you can create the model on a part of the dataset and then check the prediction with the remaining part, as a testing set. But, if you have new data you and you want to apply the same model on them...nothing! I checked the source code of ARIMA functions but it was too complex and I hadn't enough time to learn all that stuff. However I found a little workaround:
1. I calibrate the model on the "training part" 2. I create a new model with the same parameters, using "fixed" (check arima documentation) on the new data 3. go to step 2. every time you have new data It worked for me. -- View this message in context: http://r.789695.n4.nabble.com/R-time-series-analysis-tp2527513p2528200.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
