Is there a way to force seasonality from auto.arim

问题:

With the forecast package, I have a time series that I would like ?auto.arima to automatically pick the orders but I would like to coerce seasonality. The defaults for the function allow for the seasonal argument to be set to TRUE, but that only allows the option for seasonality not a coercion.

auto.arima(x, d=NA, D=NA, max.p=5, max.q=5,
     max.P=2, max.Q=2, max.order=5, max.d=2, max.D=1, 
     start.p=2, start.q=2, start.P=1, start.Q=1, 
     stationary=FALSE, seasonal=TRUE,
     ic=c("aicc", "aic", "bic"), stepwise=TRUE, trace=FALSE,
     approximation=(length(x)>100 | frequency(x)>12), xreg=NULL,
     test=c("kpss","adf","pp"), seasonal.test=c("ocsb","ch"),
     allowdrift=TRUE, allowmean=TRUE, lambda=NULL, biasadj=FALSE,
     parallel=FALSE, num.cores=2)

回答1:

You can set the D parameter, which governs seasonal differencing, to a value greater than zero. (The default NA allows auto.arima() to use or not use seasonality.) For example:

> set.seed(1)
> foo <- ts(rnorm(60),frequency=12)
> auto.arima(foo)
Series: foo 
ARIMA(0,0,0) with zero mean     

sigma^2 estimated as 0.7307:  log likelihood=-75.72
AIC=153.45   AICc=153.52   BIC=155.54
> auto.arima(foo,D=1)
Series: foo 
ARIMA(0,0,0)(1,1,0)[12]                    

Coefficients:
         sar1
      -0.3902
s.e.   0.1478

sigma^2 estimated as 1.139:  log likelihood=-72.23
AIC=148.46   AICc=148.73   BIC=152.21