Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Jump to bottom

Excessive division by df in generate.TSLM() to obtain the variance of innovations? #381

Open
zouharj opened this issue Dec 7, 2022 · 1 comment
Open

Excessive division by df in generate.TSLM() to obtain the variance of innovations? #381

zouharj opened this issue Dec 7, 2022 · 1 comment

Comments

@zouharj
Copy link

zouharj commented Dec 7, 2022

In generate.TSLM(), the variance of generated (non-bootstrapped) innovations is obtained as x$sigma2 / x$df.residual:

fable/R/lm.R

Line 331 in a9404d8

vars <- x$sigma2 / x$df.residual

Correct me if I'm wrong, but I believe that plain x$sigma2 is in fact the variance we would like to use (sigma2 is obtained as rss/df, I don't see the point of further division by df).
@robjhyndman
Copy link
Member

Thanks. Now fixed in 79d5a50

Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Assignees
No one assigned
Labels
None yet
Projects
None yet
Milestone
No milestone
Development

No branches or pull requests
2 participants
@robjhyndman @zouharj