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TBATS

Source: R/models.R
model_tbats.Rd

Trigonometric seasonality, Box-Cox transformation, ARMA errors, trend and seasonal components (De Livera, Hyndman & Snyder, 2011). The seasonal periods need not be whole numbers and there may be several. Whatever is left as NULL is chosen by AIC. It is the slowest model of the package: seconds for ten years of monthly data.

Usage

model_tbats(
  periods = NULL,
  harmonics = NULL,
  box_cox = NULL,
  trend = NULL,
  damped = NULL,
  arma_errors = NULL,
  arma_orders = NULL
)

Arguments

periods

Seasonal periods; by default the period of the series.

harmonics

Harmonics of each period, in increasing order of period.

box_cox, trend, damped, arma_errors

TRUE, FALSE, or NULL to choose.

arma_orders

(p, q) of the ARMA errors, instead of choosing.

Value

A model specification, to use with fit_model(), forecast_model() or backtest().

See also

Other models: model_arima(), model_auto_arima(), model_box_cox(), model_croston(), model_decomposed(), model_ensemble(), model_ets(), model_holt_winters(), model_log_linear(), model_mean(), model_prophet(), model_theta()

Examples

# a structure given in full fits at once; whatever is left out is chosen
model <- model_tbats(harmonics = 3, box_cox = FALSE, trend = TRUE, damped = FALSE,
                     arma_errors = FALSE)
fit <- fit_model(model, log(AirPassengers))
exp(predict(fit, 3))
#>           Jan      Feb      Mar
#> 1961 451.6791 469.9160 494.5989