I am using Matlab to forecast time series data using ARIMA algorithm. I am able to get forecasted values, but unable to get the fitted values. This is what I mean. In R:
model <- auto.arima(data)"); forecasted <- forecast.Arima(model, h=36) forecasted$fitted
forecasted$fitted will give the data which has been fitted to the original data by the ARIMA algorithm. But I cannot see anything like that in Matlab. This is what I have done so far:
model = arima(1,1,0); [est, ~, logL, info] = estimate(model, data); [output, YMSE] = forecast(est, 10);
output gives me the 10 values Arima has forecasted, but not the original data values it has fitted. I would like to know those.
Any help is appreciated.