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ARMA(X) Model prediction is a bit ambigious #44

@Ferus-TUB

Description

@Ferus-TUB

Dear Sippy Team,

I'm having in issue regarding the prediction methods for non State Space Models.
For me it is not clear how the user is supposed to use the model after its identification.
I understand how to identify the models but afterwards I want to use the model for a prediction.
The documentation is a bit ambigious regarding this aspect.
I don't know which method to use for that.
For example is the method fset.validation defined as a 1-step ahead simulation but the equation doesnt say y_hat_k+1.

image

So my understanding would be that this method is only used internally to validate the model after a training step. It is not supposed to be used as a prediction method.

So my question is: How is the user supposed to be simulating the identified system given a new input, as well as with optional old outputs(y(k-1)) ?

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