[R] Forecasting MA model different to manually computation?
neumancohu at gmail.com
Wed May 22 16:13:55 CEST 2013
3 down vote favorite
I am interested in forecasting a MA model.Therefore I have created a
very simple data set (three variables). I then adapted a MA(1) model
to it. The results are:
ARIMA(0,0,1) with non-zero mean
s.e. 0.8165 0.3163
sigma^2 estimated as 0.5: log likelihood=-3.91
AIC=13.82 AICc=-10.18 BIC=11.12
While the MA(1) model looks like this:
and a_t is White Noise.
Now, I look at the fitted values:
Start = 1
End = 3
Frequency = 1
 3.060660 4.387627 3.000000
I tried different ways, but I cant find out how the fitted values
(3.060660, 4.387627 and 3.000000) are calculated.
Any help would be very appreciated.
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