time_series
Analyze time series data with stationarity tests, decomposition, automatic ARIMA/ETS modeling, and generate forecasts with prediction intervals and diagnostic plots.
Instructions
Time series analysis and forecasting. Reports stationarity (ADF and KPSS), STL decomposition with trend and seasonal strength, an automatically selected ARIMA or ETS model, in-sample accuracy, a Ljung-Box test on the residuals, and a forecast with prediction intervals - plus forecast, decomposition and ACF/PACF plots. Set frequency to the number of observations per cycle (12 for monthly, 4 for quarterly, 7 for daily data with a weekly cycle).
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| h | No | Forecast horizon in periods. | |
| data | Yes | Dataset name in the session. | |
| time | No | Column to sort by; assumes the rows are already in order if omitted. | |
| plots | No | Include forecast, decomposition and ACF/PACF plots. | |
| value | Yes | Numeric column holding the series. | |
| digits | No | Decimal places. | |
| method | No | auto, arima, ets, naive or stl. | auto |
| save_as | No | Name for the ts object in the session. | |
| seasonal | No | Allow seasonal ARIMA terms. | |
| frequency | No | Observations per seasonal cycle: 12 monthly, 4 quarterly, 1 for none. | |
| conf_level | No | Prediction interval level. |