fable
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Excessive division by df in `generate.TSLM()` to obtain the variance of innovations?
In generate.TSLM()
, the variance of generated (non-bootstrapped) innovations is obtained as x$sigma2 / x$df.residual
:
https://github.com/tidyverts/fable/blob/a9404d8bdbd2990a49fffcc43257f8a6e9f9a5d3/R/lm.R#L331
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
).
Thanks. Now fixed in https://github.com/tidyverts/fable/commit/79d5a5049a24ea55dd5d8009259b8ebcea8a4e98