Hello, I would like to use a parametric TS model and predictor as benchmark to compare against other ML methods I'm employing. I currently build a simple e.g. ARIMA model using the convenient auto.arima function like this: library(forecast) df <- read.table("/Users/bravegag/data/myts.dat") # btw my test data doesn't have seasonality but periodicity so the value # 2 is arbitrarily set, using a freq of yearly or 1 would make unhappy some # R ts functions tsdata <- ts(df$signal, freq=2) arimamodel <- auto.arima(tsdata, max.p=15, max.q=10, stationary=FALSE, ic="bic", stepwise=TRUE, seasonal=FALSE, parallel=FALSE, num.cores=4, trace=TRUE, allowdrift=TRUE) arimapred <- forecast.Arima(arimamodel, h=20) plot(arimapred) The problem is that the forecast.Arima function is apparently doing a "free run" i.e. it uses the forecast(t+1) value as input to compute forecast(t+2) and I'm instead interested in a prediction mode where it always use the observed tsdata(t+1) value to predict forecast(t+2), the observed tsdata(t+2) to predict forecast(t+3) and so on. Can anyone please advice how to achieve this? TIA, Best regards, Giovanni [[alternative HTML version deleted]]