# Tagged Questions

Forecasting involves estimating the value or distribution of a random variable which has not yet been observed.

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### Double exponential smoothing alternative?

I am testing double EWMA smoothing on a time series of financial data to attempt to forecast the next point, xt+1 at time t. The original method I used (from wikipedia) is below: for t = 1 : s1 = x1 ...
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### Forecasting seasonal components in X-13ARIMA-SEATS

Forecasting seasonal components is an important practical problem in finance, where products that are highly exposed to monthly seasonality in consumer prices are traded. For example, one can trade ...
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### Extracting X-13ARIMA forecasts of seasonal effects [on hold]

I am attempting to forecast seasonal effects in various consumer price index components (foods, services, goods, etc.). In other words, I am interested in obtaining - for each time series - forecasts ...
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### Diebold Mariano test (in R)

As I asked in my answer to this question: does anyone know if the DM test (in R in this case) is supposed to be made with h=h-1? If not, am I supposed to make several prediction sets (with h ...
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### How to predict the risk of an event?

I'm working on a medical problem, where I want to analyze the effect of taking cholesterol medications on the occurrence of heart attack. Once a medication with a specific dosage is prescribed, it'll ...
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### Information on NN GC1 Forecasting Competition

I am looking for publications or other information on the results of the NN GC1 time series forecasting competition (http://www.neural-forecasting-competition.com/index.htm). The website provides ...
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### When using a limited data set, how can I use excel to forecast future values?

To preface, I am a statistics novice, but I am faced with a problem that I cannot seem to be able to satisfactorily resolve. The problem is as follows: I am working to forecast future sales for one ...
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### Making a forecast: Confidence/Prediction/Tolerance Interval?

I understand the the difference between these three types of intervals but I will summarize briefly: Confidence Interval: an interval that will contain the true mean value say, 95%, of the time. ...
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### Regression or time series model to predict trend

DATA I have the following data at hand: data about internet usage, per hour, per user, per part of the day (morning, afternoon, evening); the category of websites visited and their duration; ...
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### Why does the Arima() method in the forecast package in R not calculate standard errors for coefficients passed to 'fixed'?

In the Arima() method, in the forecast package in R, I can provide a vector of parameters to the ...
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### Method for quantifying intervention effect in time series

How can the magnitude of an intervention be quantified in a segmented time series regression? I am attempting to replicate the methodology of Decline in pneumonia admissions after routine childhood ...
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### How to extrapolate this simple trend line into the future for the purpose of forecasting in Matlab?

We have the following data points in variable data pertaining to a problem that we are solving: ...
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### How to fit a forecasting model on this irregular time series in Matlab to obtain predictions? [closed]

We have some data values from the past (1214415 to be exact over 1 minute intervals). We are only interested in the 'peaks', that is, how the trend pertaining to the maximum is increasing with time. ...
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### VAR model: good diagnostics but poor forecasting performance

I constructed a VAR model of order 4 where some of the variables are statistically insignificant. The model is based right in terms of diagnostics (no autocorrelation of residuals, normal distribution,...
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### What is the approach for agricultural price forecasting? [closed]

I have a project on Indian onion price forecasting? But I don't know the approach because I don't have statistical background. Please suggest me approach to this project.
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### Estimation and forecasting ARMA: differences between Matlab and Stata

I have to forecast values from an AR(1) model. My sample is composed of 192 observations. I estimate my model with the 182 first observations and forecast the 10 last observations. I have done this ...
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### How to forecast from VECM (in R)?

I am interested in forecasting with a vector error correction model (VECM). I am facing a problem of not being able to transform a cointegrated series into a VECM model using the stationary series. ...
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### Forecasting ARIMA with predict vs forecast in R [closed]

Data consisting of 30 values is stored in a time series time. After applying ARIMA modelling on time, I used ...
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### Techniques to forecast demand from a transaction log

Suppose we have a log file of transactions. Which, have at least the variables: Customer, Product, ...
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### What is the difference between ARMA+Fourier and TBATS model?

I am just wondering that, in terms of the multi-seasonal time series forecast, what is the difference between using auto.arima find the ARMA order, then fit <...
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### Interpreting BATS model information using forecast package in R

I have a forecast object in R. When I look at the summary I can see 'Model Information: BATS(1, {1,1}, -, -)' What do these numbers in the parentheses stand for?
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### How to convert hourly data into a time seris in R [migrated]

I have hourly data arranged by date and the dput is given below: ...
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### How to make shrinked forecast for the extreme value?

Let me use made-up example: John loves running. He decided to run in his local half-marathon for the first time in his life. He never measured exactly how fast he runs the distance, but while ...
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### How does a LOESS model do its prediction?

I understand the theory behind LOESS, but how does it do prediction without coefficients? I'd like to use LOESS prediction, but need to be able to explain it.
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### Forecast (R) with Trend, Seasonality and Promotions (Causals)

I have aggregated sales data along with price discount at month level for two years. There are seasonality, trend and also causals - the impact of price promotions (discount, in percentage). I want to ...
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### Pandas Time Series DataFrame Missing Values

I have a dataset of Total Sales from 2008-2015. I have an entry for each day, and so I have a created a pandas DataFrame with a ...
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### Finding correlation between nonlinear variables sets & forecasting

I have two data sets. Data Set A is % over/under budget for a list of non-related projects. Data Set B is % over/under time for the same list of projects. Here is a sample of the data Will I be ...
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### Restaurant Transaction Predictions

I'm new with R and have an intermediate background in stats. I'm developing a model that predicts the hourly transactions that a restaurant has. I work for a fast food chain in Latin America (we have ...