Regarding fitted value

Hello,

Thanks for the links, they are very helpful.

Rui Barradas

?s 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 at sapo.pt
<mailto:ruipbarradas at 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

    ?s 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 at sapo.pt <mailto:ruipbarradas at sapo.pt>

     > <mailto:ruipbarradas at sapo.pt <mailto:ruipbarradas at 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
     >
     >     ?s 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>*