[R] Forecasting MA model different to manually computation?
ruipbarradas at sapo.pt
Wed May 22 17:00:59 CEST 2013
Since R is open source, you can look at the source code of package
forecast to know exactly how it is done. My guess would be
x - m$residuals
Start = 1
End = 3
Frequency = 1
 3.060660 4.387627 3.000000
Hope this helps,
Em 22-05-2013 15:13, Neuman Co escreveu:
> 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:
> Series: x
> ARIMA(0,0,1) with non-zero mean
> ma1 intercept
> -1.0000 3.5000
> 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:
> Time Series:
> 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.
> Neumann, Conrad
> R-help at r-project.org mailing list
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
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