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robjhyndman / forecast

Forecasting Functions for Time Series and Linear Models
http://pkg.robjhyndman.com/forecast
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Inconsistent results following update #790

Closed pseudorational closed 5 years ago

pseudorational commented 5 years ago

I can't thank you enough for your painstaking work with the forecast package. I am writing because I have found the ets() and auto.arima() functions are behaving differently following the Jan 19, 2019 update to the forecast library. Is this to be expected?

To illustrate, ets(AirPassengers,'AAA')$aicc # Old version: 1569.390; New version: 1570.729 auto.arima(AirPassengers) # Selected model in old version is ARIMA(0,1,1)(0,1,0)[12] and in new is ARIMA(2,1,1)(0,1,0)[12]

robjhyndman commented 5 years ago

There are often minor changes between versions. You can see all the changes to the ets function here, for example: https://github.com/robjhyndman/forecast/commits/master/R/ets.R

Major changes are listed at http://pkg.robjhyndman.com/forecast/news/index.html

On auto.arima, we modified the search algorithm in v8.5.