[R-SIG-Finance] ARIMA question

[Jeff Ryan]

I think it is as simple as backing out from the residuals:

# an MA2 model
x <- arima.sim(list(ma=2),n=100)

#Fitted as such...
x.model <- arima(x,c(0,0,2))

# add the residuals to the original data
x.insample.fit <- x-residuals(x.model)

# and you can even see them:
plot(x)
par(new=TRUE)
lines(x.insample.fit,col=3,lty=2)

Jeff


On Nov 7, 2007 12:47 PM, Yalla, Swaroop (FID)
<Swaroop.Yalla at morganstanley.com> wrote:
> Hi:
>
> I have another ARIMA question for R. I was finally able to use ARIMA
> modeling on my data. Now to forecast out of sample, we can use
> predict(fit, n.ahead = 10) type of command and thats fine- but how can I
> see the fit in-sample. I mean is there a easy way to just compare the
> actual data with the fitted model in-sample?
>
> thanks for all the help..
> Swaroop
> --------------------------------------------------------
>
> This is not an offer (or solicitation of an offer) to bu...{{dropped:24}}
>
> _______________________________________________
> R-SIG-Finance at stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only.
> -- If you want to post, subscribe first.
>