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Improve the initialisation of ADAM ARIMA #184

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config-i1 opened this issue Jun 22, 2021 · 1 comment
Closed

Improve the initialisation of ADAM ARIMA #184

config-i1 opened this issue Jun 22, 2021 · 1 comment
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@config-i1
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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 config-i1 created this issue from a note in ADAM (To Do) Jun 22, 2021
@config-i1 config-i1 added ADAM Issues related to ADAM enhancement labels Jun 22, 2021
@config-i1 config-i1 moved this from To Do to Done in ADAM May 23, 2024
@config-i1
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Seems to be okay now.

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