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config-i1 / smooth

The set of functions used for time series analysis and in forecasting.
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Improve the initialisation of ADAM ARIMA #184

Closed config-i1 closed 3 months ago

config-i1 commented 3 years ago

This is especially important in case of backcasting. Here is an example of very wrong initials:

test <- adam(AirPassengers, "NNN", lags=c(1,12), initial="back", orders=list(i=c(1,1),ma=c(1,1)), h=12, holdout=TRUE, loss="GTMSE", constant=T)

This is not a serious issue, when standard losses are used, but it becomes more apparent in case of multistep ones.

config-i1 commented 3 months ago

Seems to be okay now.