Merge remote-tracking branch 'origin/master'

NAMESPACE

@@ -80,6 +80,7 @@ S3method(getResponse,lm)
 S3method(getResponse,mforecast)
 S3method(getResponse,tbats)
 S3method(head,ts)
+S3method(hfitted,default)
 S3method(logLik,ets)
 S3method(nobs,ets)
 S3method(plot,Arima)

NEWS.md

@@ -1,4 +1,6 @@
 # forecast (development version)
+  * hfitted now much faster for ARIMA models (danigiro, #949)
+
 
 # forecast 8.21.1
   * nnetar now allows p or P to be 0

R/arima.R

@@ -964,3 +964,30 @@ is.Arima <- function(x) {
 fitted.ar <- function(object, ...) {
   getResponse(object) - residuals(object)
 }
+
+hfitted.Arima <- function(object, h, ...) {
+  # As implemented in Fable
+  if(h == 1){
+    return(object$fitted)
+  }
+  y <- object$fitted+residuals(object, "innovation")
+  yx <- residuals(object, "regression")
+  # Get fitted model
+  mod <- object$model
+  # Reset model to initial state
+  mod <-  stats::makeARIMA(mod$phi, mod$theta, mod$Delta)
+  # Calculate regression component
+  xm <- y - yx
+  fits <- rep_len(NA_real_, length(y))
+
+  start <- length(mod$Delta) + 1
+  end <- length(yx) - h
+  idx <- if(start > end) integer(0L) else start:end
+  for(i in idx) {
+    fc_mod <- attr(stats::KalmanRun(yx[seq_len(i)], mod, update = TRUE), "mod")
+    fits[i + h] <- stats::KalmanForecast(h, fc_mod)$pred[h] + xm[i+h]
+  }
+  fits <- ts(fits)
+  tsp(fits) <- tsp(object$x)
+  fits
+}

R/forecast.R

@@ -451,6 +451,11 @@ predict.default <- function(object, ...) {
 }
 
 hfitted <- function(object, h=1, FUN=NULL, ...) {
+  UseMethod("hfitted")
+}
+
+#' @export
+hfitted.default <- function(object, h=1, FUN=NULL, ...) {
   if (h == 1) {
     return(fitted(object))
   }

inst/CITATION

@@ -26,7 +26,7 @@ bibentry(bibtype = "Article",
   title     = "Automatic time series forecasting: the forecast package for {R}",
   author    = c(as.person("Rob J Hyndman"),as.person("Yeasmin Khandakar")),
   journal   = "Journal of Statistical Software",
-  volume    =  26,
+  volume    =  27,
   number    =  3,
   pages     = "1--22",
   year      =  2008,