amin roshani amin roshani - 3 months ago 12
R Question

Innovations vector in MA Time Series Model

I am using

auto.arima
function( in
forecast
R package) to fit MA model (like $X_t=Z_t+Z_{t-1}$). How can get vector of $Z_t$?

Answer
fit <- auto.arima(x)
z <- residuals(fit)
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