I try to refit an existing fable model to new data to get estimates for unseen data. I am wondering why the constant coefficient changes when I use fable::refit(m, reestimate=F) thats unintuitive to me. The coefficient also changes when I refit the same data again?
If this is the desired behaviour, is there a tidy way to apply a fable model to new data to get estimates?
library(tsibble)
#>
#> Attaching package: 'tsibble'
#> The following objects are masked from 'package:base':
#>
#> intersect, setdiff, union
library(fable)
#> Loading required package: fabletools
lung_deaths_male <- as_tsibble(mdeaths)
lung_deaths_female <- as_tsibble(fdeaths)
fit <- lung_deaths_male %>%
model(AR(value ~ 1 + order(3)))
report(fit)
#> Series: value
#> Model: AR(3) w/ mean
#>
#> Coefficients:
#> constant ar1 ar2 ar3
#> 606.0584 1.0135 -0.2174 -0.2053
#>
#> sigma^2 estimated as 57958
#> AIC = -76.58 AICc = -75.98 BIC = -67.47
# refitting to new data without re-estimating the coefficients of the model.
# notice that the constant term changes and the ar-terms remain the same.
fit %>%
refit(lung_deaths_female, reestimate=FALSE) %>%
report()
#> Series: value
#> Model: AR(3) w/ mean
#>
#> Coefficients:
#> constant ar1 ar2 ar3
#> 108920.8 1.0135 -0.2174 -0.2053
#>
#> sigma^2 estimated as 1.181e+10
#> AIC = 922.31 AICc = 922.31 BIC = 922.31
# even when refitting the same data as for the original model, the constant
# coefficients change:
fit %>%
refit(lung_deaths_male, reestimate=FALSE) %>%
report()
#> Series: value
#> Model: AR(3) w/ mean
#>
#> Coefficients:
#> constant ar1 ar2 ar3
#> 262514.8 1.0135 -0.2174 -0.2053
#>
#> sigma^2 estimated as 6.86e+10
#> AIC = 922.27 AICc = 922.27 BIC = 922.27
# session info
sessioninfo::session_info()
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Created on 2022-08-09 by the reprex package (v2.0.1)
