Folks,
This is more of a stat question than an R question.
Apologies in advance!
Suppose I fit an AR(1) to a time-series and also fit an AR(1) to the logs of
the same time-series and then simulate future paths.
In my case I see a big difference in the resulting paths. If I simulate
thousands of paths under each scenario (exponentiating the results from the
log-fit) and take the "mean" path for each I see a divergence. The average path
from log-fit is increasing relative to the average path of the base fit.
My guess is that there is a simple computation that would allow me to compare
the two analytically but I just haven't been able to find it.
Thanks for your time,
KW
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