[R] predict.arima

[shao ran]

Hi *,

Firstly, thank you so much for your time to read my email.

I am currently interested in how to use R to predict time series from
models fitted by ARIMA. The package I used is basic stats package, and the
method I used is predict.Arima.

What I know is that ARIMA parameters are estimated by Kalman Filter, but I
have difficulty in understanding how exactly maximum likelihood (ML)
estimator can be computed based on Kalman Filter, i.e. given a time series
and an ARIMA model, how can I compute the ARIMA parameters for prediction.

Could you please give me some help or provide some materials for it?

Thank you so much!


will

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