[R] Regarding fitted value
Md. Moyazzem Hossain
ho@@@|nmm @end|ng |rom jun|v@edu
Tue Feb 2 17:26:45 CET 2021
Dear Partho Sarkar and Rui Barradas
Thanks a lot.
Take care.
On Tue, Feb 2, 2021 at 12:34 PM Partho Sarkar <partho.ss using gmail.com> wrote:
> 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>*
>> >
>> > ______________________________________________
>> > 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.
>> >
>>
>
--
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>*
[[alternative HTML version deleted]]
More information about the R-help
mailing list