Fitted curves and residuals of a FARFIMA fit

The in-sample fit of a model from farfima(). Each fitted curve is the one-step-ahead forecast of a training curve from the curves before it, and each residual curve is the training curve minus its fitted curve. They cover the training curves left after trimming; the first max(p, q) columns are NA, because the model needs that many earlier curves.

Usage

# S3 method for class 'farfima'
fitted(object, scale = c("original", "differenced"), ...)

# S3 method for class 'farfima'
residuals(object, ...)

Arguments

object

A fit from farfima() with method = "farma".

scale

"original" or "differenced".

...

Not used.

Value

fitted() returns the fitted curves and residuals() the residual curves, each as a matrix with grid points in rows and training curves in columns.

Details

fitted(fit) is on the scale of the data, so fitted(fit) + residuals(fit) gives the training curves. fitted(fit, scale = "differenced") is the FARMA fit of the fractionally differenced curves. The residuals are the same on both scales.

See also

farfima(); plot() to draw the curves.

Examples

sim = sim_farfima(n = 200, d = 0.3, p = 1, q = 0, seed = 1)
fit = farfima(sim, d = 0.3, order = c(1, 0), trim = 50, verbose = FALSE)
dim(fitted(fit))
#> [1] 101 150
range(fitted(fit) + residuals(fit) - sim[, 51:200], na.rm = TRUE)
#> [1] -4.440892e-16  4.440892e-16