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fitted values on re-fitted model seem to be affected by new data #798
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+1 |
I get the same result in fable - why is the change in fitted values unexpected? |
Because a fitted value is a one-step forecast, and should not be affected by the following observation. |
MRE directly from It also seems to happen within ARIMA_Like, which updates the model based on data when computing the fit - will need to dig deeper into this later. # Create training and two sets of test data
training <- USAccDeaths[1:60]
test2 <- test <- USAccDeaths[61:72]
test2[12] <- test[12] + 2
fit <- stats::arima(log(training), order = c(0,1,0), seasonal = c(0,1,1))
refit1 <- stats::arima(log(test), order = c(0,1,0), seasonal = c(0,1,1), fixed = coef(fit))
refit2 <- stats::arima(log(test2), order = c(0,1,0), seasonal = c(0,1,1), fixed = coef(fit))
exp((log(test) - refit1$residuals)[10:12])
#> [1] 9270.875 9187.616 8740.719
exp((log(test2) - refit2$residuals)[10:12])
#> [1] 9270.875 9187.616 8740.807 Created on 2019-06-04 by the reprex package (v0.2.1) |
Created on 2019-05-01 by the reprex package (v0.2.1)
Why does the last fitted value change?
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