ET结果预测 [英] Forecasting with ets results

问题描述

我使用以下数据加载数据框(命名为股票):

I load a dataframe (named stock) with this data:

day               value
2000-12-01 00:00:00 11.809242 
2000-12-01 06:00:00 10.919792 
2000-12-01 12:00:00 13.265208 
2000-12-01 18:00:00 13.005139 
2000-12-02 00:00:00 10.592222  
2000-12-02 06:00:00 8.873160 
2000-12-02 12:00:00 12.292847 
2000-12-02 18:00:00 12.609722 
2000-12-03 00:00:00 11.378299 
2000-12-03 06:00:00 10.510972  
2000-12-03 12:00:00 8.297222  
2000-12-03 18:00:00 8.110486  
2000-12-04 00:00:00 8.066154

我尝试使用ets()模型来实现预测:

I try to implement forecasting using ets() model with this:

library(forecast)
fs <- forecast(stock$value,h=8,model="AAN") 
fs

fs的输出是:

Point Forecast    Lo 80     Hi 80    Lo 95     Hi 95
14       8.778035 6.967009 10.589061 6.008310 11.547761
15       8.536608 6.725582 10.347635 5.766883 11.306334
16       8.295182 6.484155 10.106208 5.525456 11.064907
17       8.053755 6.242728  9.864781 5.284028 10.823481
18       7.812328 6.001301  9.623355 5.042601 10.582054
19       7.570901 5.759873  9.381928 4.801173 10.340628
20       7.329474 5.518446  9.140502 4.559746 10.099202
21       7.088047 5.277018  8.899076 4.318318  9.857776 

我在预测"列中观察到的是预测值下降了.为什么会这样呢?是否需要在模型中设置不同的参数?

What I observe in Forecast column is that the forecasting value goes down. Why is this happening? Does it need to set different parameters in model?

推荐答案

最近五个观测值中的每个观测值都小于之前的观测值.因此，在历史数据的末尾您有下降的趋势.预测模型继续了这一过程.您选择了一个ETS(A，A，N)模型来对本地趋势进行建模，而这正是它所做的.

Each of the last five observations has been less than the one before it. So you have a downward trend at the end of the historical data. The forecasting model has continued this. You chose an ETS(A,A,N) model which models local trends, and that is exactly what it is doing.

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