forecast and fable return different outputs on same dataset for forecasting in R

情到浓时终转凉″ 提交于 2021-02-10 05:36:51

问题


I am trying to understand the different between two forecasting package forecast and fable, as the two editions of the same book (second edition and third edition seems to imply that the two packages are equivalent.

library(dplyr)

raw <- c(44.4082519001086, 47.1074380165289, 43.5633367662204, 43.1003584229391, 
         42.5828970331588, 38.3217993079585, 38.5751520417029)
# raw <- c(raw,rev(raw))

forecast.df <- ts(raw)
forecast::autoplot(forecast.df) +
  forecast::autolayer(forecast::holt(forecast.df,damped=FALSE,h = 5),
                      series="Holt's method",PI = TRUE)


fable.df <- tsibble::as_tsibble(tibble(value=raw) %>%
                                 mutate(time=1:n()),index=time)
fable.df %>%
  fabletools::model(`Holt's method`=
                      fable::ETS(value ~ error("A") + trend("A") + season("N"))) %>%
  fabletools::forecast(.,h=5) %>%
  fabletools::autoplot(fable.df,level=c(80,95))

By eyeballing the two charts, the boundaries of prediction interval generated by fabletools are parallel, compared with those generated by forecast being in funnel shape.

I am not sure if I have missed some parameters when setting up forecast or fable. Thanks!

来源:https://stackoverflow.com/questions/64854538/forecast-and-fable-return-different-outputs-on-same-dataset-for-forecasting-in-r

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