Hi Akshay,
If you do
> help(package="forecast")
you will find that arfima is listed. Unfortunately, I don't see any
ARCH-type models there, but you should check out the help page
results.
Good luck,
Eric
On Mon, Aug 14, 2023 at 8:04 PM akshay kulkarni <akshay...@hotmail.com> wrote:
>
> Dear Eric,
> THanks for the reply...will this also work with arfima() ?
> What if I want to fit a model like GARCH and friends?
>
> THanking you,
> Yours sincerely,
> AKSHAY M KULKARNI
> ________________________________
> From: Eric Berger <ericjber...@gmail.com>
> Sent: Sunday, August 13, 2023 10:34 AM
> To: akshay kulkarni <akshay...@hotmail.com>
> Cc: R help Mailing list <r-help@r-project.org>
> Subject: Re: [R] time series transformation....
>
> Hi Akshay,
> The forecast package will do the BoxCox transform and automatically
> backtransform the forecasts.
> The package also handles xts objects.
> For example, modifying the example from the help page of
> forecast::forecast for Arima
>
> > dt <- as.Date("2023-01-01") + 1:length(WWWusage)
> > a <- xts(WWWusage, order.by=dt)
> > fit1 <- Arima(a, c(3,1,0))
> > fit2 <- Arima(a, lambda=0.5, c(3,1,0)) ## applies the Box-Cox transform
> > with lambda=0.5
> > par(mfrow=c(1,2))
> > plot(forecast(fit1))
> > plot(forecast(fit2))
>
> HTH,
> Eric
>
> p.s. RJH is the author/maintainer of the forecast package
>
>
> On Sun, Aug 13, 2023 at 1:01 AM akshay kulkarni <akshay...@hotmail.com> wrote:
> >
> > dear members,
> > I have a heteroscedastic time series which I want
> > to transform to make it homoscedastic by a box cox transformation. I am
> > using Otexts by RJ hyndman and George Athanopolous as my textbook. They
> > discuss transformation and also say the fpp3 and the fable package
> > automatically back transforms the point forecast. they also discuss the
> > process which I find to be very cumbersome. Is there any R package which
> > automatically back transforms the point forecast when I use xts objects (
> > RJH and GA use tsibble objects) with arfima/arima in the forecast package?
> >
> > THanking you,
> > Yours sincerely,
> > AKSHAY M KULKARNI
> >
> > [[alternative HTML version deleted]]
> >
> > ______________________________________________
> > R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see
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> > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> > and provide commented, minimal, self-contained, reproducible code.
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