[R] Regarding fitted value

[Partho Sarkar]

My pleasure!

*Best regards,*
*Partho Sarkar*

On Tue, Feb 2, 2021 at 5:55 PM Rui Barradas <ruipbarradas using sapo.pt> wrote:

> 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>*
> >
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> >
>

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