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To back transform to obtain means rather than medians, you need to do some bias adjustment as explained in https://otexts.com/fpp2/transformations.html#bias-adjustments. The bias adjustment code can be seen here: https://github.com/robjhyndman/forecast/blob/a9db8d4e7169dac3a8d5c1bbf783e3e9bbad5533/R/forecast2.R#L81 Backtransforming differences is handled within the |
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I was looking the source code of
forecasthttps://github.com/robjhyndman/forecast/blob/master/R/forecast.R
I would like to see in simple code terms how the forecast function obtains the mean forecasts at the original scale of the variable when we have these two transformations: A) Difference of the dependent variable and difference of logs of it
For example,
By the way the last code provides the forecasts that they seem to be in logs as well. Are these forecasts back-transformed?
But my main question is if I can see somewhere the back-transformation when I have first differences and differences of logs.
That is, I would like to understand how from the forecasts that we obtain at the transformed scale we eventually obtain the forecasts reported above that are back-transformed. If you could refer me to a line of code from the above link that would be helpful
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