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Rob Hyndman is a Professor of Statistics at Monash University, Australia. He is Editor-in-Chief of the International Journal of Forecasting and author of over 100 research papers in statistical science. He also maintains an active consulting practice, assisting hundreds of companies and organizations. His recent consulting work has involved forecasting electricity demand, tourism demand, the Australian government health budget and case volume at a US call centre. Rob J is a DZone MVB and is not an employee of DZone and has posted 46 posts at DZone. You can read more from them at their website. View Full User Profile

# Out-of-Sample One Step Forecasts

02.14.2013
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It is com­mon to fit a model using train­ing data, and then to eval­u­ate its per­for­mance on a test data set. When the data are time series, it is use­ful to com­pute one-​​step fore­casts on the test data. For some rea­son, this is much more com­monly done by peo­ple trained in machine learn­ing rather than statistics.

If you are using the fore­cast pack­age in R, it's eas­ily done with ETS and ARIMAmod­els. For example:

 ```library(forecast) fit <- ets(trainingdata) fit2 <- ets(testdata, model=fit) onestep <- fitted(fit2)```

Note that the sec­ond call to `ets` does not involve the model being re-​​estimated. Instead, the model obtained in the first call is applied to the test data in the sec­ond call. This works because fit­ted val­ues are one-​​step fore­casts in a time series model.

The same process works for ARIMA mod­els when `ets` is replaced by `Arima` or`auto.arima`. Note that it does not work with the `arima` func­tion from the stats pack­age. One of the rea­sons I wrote `Arima` (in the fore­cast pack­age) is to allow this sort of thing to be done.

Published at DZone with permission of Rob J Hyndman, author and DZone MVB. (source)

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