I have a misunderstanding on the residuals function in 'R'. In the stats
package the residuals for the output of a HoltWinters fit is
residuals.HoltWinters and the source looks like:
> stats:::residuals.HoltWinters
function (object, ...)
object$x - object$fitted[, 1]
<environment: namespace:stats>
>
If I execute the following code (I only include the forecast package for the
data set):
library("forecast")
library("expsmooth")
library("fma")
f <- HoltWinters(wineind)
This results in a HoltWinters fit to the data in the variable 'f'. If I look at
the first few data points:
f$x[1:10]
[1] 15136 16733 20016 17708 18019 19227 22893 23739 21133 22591
And at the fitted values:
f$fitted[1:10,1]
[1] 14043.33 16849.90 18885.04 20474.27 18836.84 21665.11 24118.32 25198.27
[9] 22901.40 24450.89
Then at the residuals:
residuals(f)[1:10]
[1] 984.6741 1127.0982 1122.9566 879.7321 661.1564 459.8873
[7] 1698.6798 3580.7276 -1941.4028 -2196.8865
Take the first element. It is clearly not simply f$x[1] - f$fitted[1,1] (which
is 1092.674 not 984.6741). So my question is, "What is actually being
subtracted to get the residuals?"
Thank you.
Kevin
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