does anyone use arima.rob() function described by Eric Zivot and Jiahui Wang in { Modelling Financial Time Series with S-PLUS } ? I have a question about it: I used a dataset of network traffic flows that has anomaly, and I tried to predict the last part of dataset by robust ARIMA method (Arima.rob() function) .I compare this model with arima.mle of S-PLUS. But Unexpectedly, arima.rob’s prediction did not better than that. I’m not sure my codes are correct and may be the reason of fault is my codes. Please, help me if I used Arima.rob inappropriately?
tmp.rr<-arima.rob((tmh75)~1,p=2,d=1,q=2,freq=24,maxiter=4,max.fcal=80000)
tmp.for<-predict(tmp.rr,n.predict=10,newdata=df1,se=T)
plot(tmp.for,tmh75)
summary(tmp.for)
my code for classic arima:
`model <- list(list(order=c(2,1,2)),list(order=c(3,1,2),period=24))
fith <- arima.mle(tmh75-mean(tmh75),model=model)
foreh <- arima.forecast(tmh75,n=25,model=fith$model)
tsplot(tmh75,foreh$mean,foreh$mean+foreh$std.err,foreh$mean-foreh$std.err)
`