Backcasting in R

February 19, 2014
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Sometimes it is useful to “backcast” a time series — that is, forecast in reverse time. Although there are no in-built R functions to do this, it is very easy to implement. Suppose x is our time series and we want to backcast for h periods. Here is some code that should work for most univariate time series. The example is non-seasonal, but the code will also work with seasonal data.

library(forecast)
x <- WWWusage
h <- 20
f <- frequency(x)
# Reverse time
revx <- ts(rev(x), frequency=f)
# Forecast
fc <- forecast(auto.arima(revx), h)
plot(fc)
# Reverse time again
fc$mean <- ts(rev(fc$mean),end=tsp(x)[1] - 1/f, frequency=f)
fc$upper <- fc$upper[h:1,]
fc$lower <- fc$lower[h:1,]
fc$x <- x
# Plot result
plot(fc, xlim=c(tsp(x)[1]-h/f, tsp(x)[2]))

Rplot

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