I'm noticing an issue with using auto.arima
in R where if I input a series with large values and high variance, the forecast simply returns 0. Is this because the hyperparameters chosen are wrong? For example, see the simple example below:
library(forecast)
my_time_series = c(
234829874,
293481040534,
4087598324,
20394823094324,
234832948234,
2034982034,
2304984,
2039483029481,
20349812044,
2034982094814
)
forecast(auto.arima(my_time_series))
>>>
Point Forecast Lo 80 Hi 80 Lo 95 Hi 95
11 0 -8.348708e+12 8.348708e+12 -1.276825e+13 1.276825e+13
12 0 -8.348708e+12 8.348708e+12 -1.276825e+13 1.276825e+13
13 0 -8.348708e+12 8.348708e+12 -1.276825e+13 1.276825e+13
14 0 -8.348708e+12 8.348708e+12 -1.276825e+13 1.276825e+13
15 0 -8.348708e+12 8.348708e+12 -1.276825e+13 1.276825e+13
16 0 -8.348708e+12 8.348708e+12 -1.276825e+13 1.276825e+13
17 0 -8.348708e+12 8.348708e+12 -1.276825e+13 1.276825e+13
18 0 -8.348708e+12 8.348708e+12 -1.276825e+13 1.276825e+13
19 0 -8.348708e+12 8.348708e+12 -1.276825e+13 1.276825e+13
20 0 -8.348708e+12 8.348708e+12 -1.276825e+13 1.276825e+13
Why is this and how do I fix this? For example, in this fictional time series, I would have expected at least ARIMA to basically output the mean, but I don't understand why it's forecasting 0.