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>
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>> 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>*
>
> ______________________________________________
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>
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