non-automatic TBATS?

[smxzehvb]

Is there a way to force TBATS to run with a certain configuration? Say, I don't want the function to try and find the best model out of many parameter configurations. I only want a single specific configuration.

e.g. if I want exactly this model, and nothing else tested under the hood:

• use.box.cox=TRUE
• use.trend=TRUE
• use.damped.trend=FASLE
• use.arma.errors=TRUE (and specifically supply the order, e.g. (1,0) )
• seasonal.periods= some integer

Is this possible? Thanks.

[robjhyndman]

Yes. Please read the documentation. help(tbats) or https://pkg.robjhyndman.com/forecast/reference/tbats.html

[smxzehvb]

Ok, yeah, everything I asked for, except fixing an order for the ARMA errors.

So even if you set use.arma.errors=TRUE, could the model still select order = (0,0) under the hood? Would that end up equivalent to use.arma.errors=FALSE? Or is it forced to pick an order > (0,0)?

I'm asking about fine-grain control because I want to pick the combination of TBATS params based on out-of-sample forecast error, rather than in-sample AIC. And I don't want to iterate over inadvertently redundant combinations of parameters. Cheers

[robjhyndman]

The automatic selection of the ARMA errors can choose $p=q=0$ if that gives the lowest AICc value.
Additional arguments to tbats() are passed on to auto.arima() which gives you some control over the model selected, but not enough to fully specify the model.

[smxzehvb]

thanks