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forecast vs. infer

Asked by Lorant Foldvary on 12 Aug 2018 at 21:46

Hi,

Let's have a stationary data with 100 elements. Let's use the first 70 for defining an appropriate ARIMA model (EstMdl), and use the last 30 for tests. Test 1: infering residuals for the last 30 elements: E = infer(EstMdl,data(71:100),'Y0',dat(1:70)); Test 2: forecasting the last 30 elements: OUT = forecast(EstMdl,30,'Y0',dat(1:70)); then determining the residual as: res = data(71:100)-OUT;

According to my understanding, res should be equal to E. But they are not. Why?

Regards Lorant

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