[R] Regarding fitted value

[Rui Barradas]

Hello,

Thanks for the links, they are very helpful.

Rui Barradas

Às 11:36 de 02/02/21, Partho Sarkar escreveu:
> In case further clarification is needed, this from Rob Hyndman, author 
> of the Forecast package, may be helpful:
> 
> "fitted produces one-step in-sample (i.e., training data) "forecasts". 
> That is, it gives a forecast of observation t using observations up to 
> time t-1 for each t in the data. ... So fitted(fit) gives one-step 
> forecasts of observations 1, 2, ... It is possible to produce a 
> "forecast" for observation 1 as a forecast is simply the expected value 
> of that observation given the model and any preceding history."
> 
>  From Hyndman's answer in this thread
> <a 
> href="https://stats.stackexchange.com/questions/217955/difference-between-first-one-step-ahead-forecast-and-first-forecast-from-fitted?rq=1">https://stats.stackexchange.com/questions/217955/difference-between-first-one-step-ahead-forecast-and-first-forecast-from-fitted?rq=1</a>
> 
> See also <a 
> href="https://robjhyndman.com/hyndsight/out-of-sample-one-step-forecasts/">https://robjhyndman.com/hyndsight/out-of-sample-one-step-forecasts/</a><https://robjhyndman.com/hyndsight/out-of-sample-one-step-forecasts/>
> 
> [A quick search on the stackexchange forum will turn up several similar 
> questions & answers]
> 
> HTH,
> 
> /
> Best regards,
> /
> /
> Partho Sarkar
> /
> 
> On Tue, Feb 2, 2021 at 12:28 PM Rui Barradas <ruipbarradas using sapo.pt 
> <mailto:ruipbarradas using sapo.pt>> wrote:
> 
>     Hello,
> 
>     You get the fitted values for years 2000, ..., 2019.
>     Those values are the original series minus the residuals:
> 
>     f <- fitted(model1)
>     g <- yy - resid(model1)
>     identical(f, g)          # returns TRUE
> 
> 
>     If you want to *forecast*, this will give you the default h = 10
>     forecasts.
> 
>     fc <- forecast(model1)
>     plot(fc)
> 
> 
>     Hope this helps,
> 
>     Rui Barradas
> 
>     Às 23:31 de 01/02/21, Md. Moyazzem Hossain escreveu:
>      > Dear Rui Barradas
>      >
>      > Thank you very much for your reply.
>      >
>      > However, still now, I have a confusion whether I get the fitted
>     value
>      > for the year 2000, 2001, ..., 2020 or 2001, 2002, ..., 2021.
>      >
>      > Need any more help.
>      >
>      > Thanks in advance.
>      >
>      > Md
>      >
>      > On Thu, Jan 28, 2021 at 4:47 PM Rui Barradas
>     <ruipbarradas using sapo.pt <mailto:ruipbarradas using sapo.pt>
>      > <mailto:ruipbarradas using sapo.pt <mailto:ruipbarradas using sapo.pt>>> wrote:
>      >
>      >     Hello,
>      >
>      >       From help('forecast::fitted.Arima'):
>      >
>      >     h       The number of steps to forecast ahead.
>      >
>      >
>      >     So you have the default h = 1 step ahead forecast for your model.
>      >
>      >
>      >     Hope this helps,
>      >
>      >     Rui Barradas
>      >
>      >     Às 12:13 de 28/01/21, Md. Moyazzem Hossain escreveu:
>      >      >   Dear R-experts,
>      >      >
>      >      > I hope that all of you are doing well. I got the filled value
>      >     from the
>      >      > ARIMA model.
>      >      >
>      >      > I use the following working code. But I am not clear whether I
>      >     got the
>      >      > fitted value for each *corresponding time* of the original
>     data
>      >     point like
>      >      > 2000, 2001, 2020 or get a *one-step-ahead* fitted value.
>     Please
>      >     suggest me
>      >      > any reference for further reading to my understanding.
>      >      >
>      >      > ########################
>      >      >
>      >   
>       y<-c(120,340,250,430,125,324,763,458,763,905,765,456,234,345,654,654,567,876,907,456)
>      >      > library(forecast)
>      >      > library(tseries)
>      >      > yy=ts(y, start=c(2000,1))
>      >      >
>      >      > model1=Arima(yy,order=c(0,2,1), lambda = NULL,method='ML')
>      >      > model1
>      >      >
>      >      > f <- fitted( model1)
>      >      > plot(yy)
>      >      > plot(f)
>      >      >
>      >      > Thanks in advance.
>      >      >
>      >
>      >
>      >
>      > --
>      > Best Regards,
>      > Md. Moyazzem Hossain
>      > Associate Professor
>      > Department of Statistics
>      > Jahangirnagar University
>      > Savar, Dhaka-1342
>      > Bangladesh
>      > Website: http://www.juniv.edu/teachers/hossainmm
>      > Research: *Google Scholar
>      >
>     <https://scholar.google.com/citations?user=-U03XCgAAAAJ&hl=en&oi=ao>*;
>      > *ResearchGate <https://www.researchgate.net/profile/Md_Hossain107>*;
>      > *ORCID iD <https://orcid.org/0000-0003-3593-6936>*
> 
>     ______________________________________________
>     R-help using r-project.org <mailto:R-help using r-project.org> mailing list --
>     To UNSUBSCRIBE and more, see
>     https://stat.ethz.ch/mailman/listinfo/r-help
>     PLEASE do read the posting guide
>     http://www.R-project.org/posting-guide.html
>     and provide commented, minimal, self-contained, reproducible code.
>