I am working on a Time Series model, and the series appeared to be non-stationary (presence of trend).
I tried 2 ways:
1) put original data into ARIMA(1,1,1)
2) manually difference first order data then put into ARIMA(1,0,1)
I thought after I convert back the 2) method prediction value, the value should be equal to the 1)one
But it turns out to be different as below.
Anyone know why?
(green is prediction value ARIMA(1,1,1), yellow is convert value from ARIMA(1,0,1)
Without integrated term:
plot( forecast(Arima(y = WWWusage, order = c(1,0,1))) )
With integrated term:
plot( forecast(Arima(y = WWWusage, order = c(1,1,1))) )