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

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What criteria tell us that the prediction of a model is reliable

What criteria can be used to tell whether the prediction of a model will be more reliable than other specifications. Background: We have data with $N$ computers. However, prices available only ...
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1answer
22 views

What is a good model for revenue managment / price optimization problem

I am trying to create a dynamic pricing model to optimize revenue for a hypothetical business. Lets say I have an application that connects dog walkers to people who want to pay for their dog to get ...
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6 views
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17 views

Forecasting method for retail [on hold]

What are forecasting methods that will fit a retail industry? particularly in school supply type. I'm thinking of time series since it has a seasonal demand, the prediction is more accurate. Are there ...
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0answers
21 views

Vector autoregression (VAR)

In a VAR I use two price-variables which are co- integrated. Is that a problem, the literature is somewhat mixed? With three lags there are no problems with serial correlation between them ...
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0answers
17 views

How to evaluate a Bayesian forecast?

Suppose that I have a predictive posterior, which is an attempt to predict some one-step ahead forecasted value $\hat{y}_{T+1}$. How do I assess if my posterior has done a good job or not? If we had ...
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1answer
20 views

Prediction in VAR models

I am currently developing a Vector Autoregressive Model, and I have the model fully specified as follows: $$X_t=AX_{t-1} +Z_t$$ where $X$ and $Z$ are $n \times 1$ column vectors, and $A$ is an ...
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0answers
3 views

Group by with the forecast package in R [migrated]

I am working on several analyses where I would like to forecast some numeric value for each level of a factor or even multiple factors, e.g. condition on sex and age. My process so far has been fairly ...
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2answers
77 views

Kernel density estimation vs. machine learning for forecasting in large samples

This is a hypothetical and pretty general question. Apologies if it is too vague. Suggestions on how to better focus it are welcome. Suppose you are interested in the relationship between one ...
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3answers
63 views

How to take advantage of multiples series with the same behaviour for forecasting?

I'm quite new to statistics and forecasting, and I have to build a model to forecast monthly sales of different related products in a bunch of cities. Seasonal ARIMA seams to be a good model for ...
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1answer
45 views

Comparing Time Series Forecast Models

I'm to write a short report on Time Series forecast comparison. I'm a beginner in the field. I want to investigate how one chooses which model is better than the other based on the forecast results. ...
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1answer
91 views

ARIMA equation interpretation

I'm trying to replicate ARIMA (1,0,1)(1,0,1) equation in excel as a formula but I am not able to understand the interpretation of white noise residual e(t) or u(t).If could help me understand the ...
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0answers
55 views

Is the ALRE method of standardization/rescaling appropriate for proportion data?

I have data in which groups of experts make proportion estimates. I've been encouraged to use the ALRE method of scoring the error of these estimates. I found an article which describes this method: ...
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0answers
31 views

How to forecast using polynomial forecasting but with three years data?

I am not a that much into business courses, but I have this problem and I will really appreciate your help. I have a three years (month by month) data for a company lets say 2011, 2012, 2013, and I ...
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0answers
27 views

Can Intervention analysis be used to forecast time series

if I have an estimate of the intervention variable from a similarly interrupted time series can it be used to forecast another similar time series after the effect of intervention. For example lets ...
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1answer
36 views

Better software for business forecasting? [duplicate]

I'd like to know what software provides better performance in business forecasting for thousands of SKU. Here the data is taken through databases. I know three alternatives: Autobox SAS Forecast ...
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1answer
94 views

forecasting time series based on previous value forecasted

I'm working on time series with a monthly demand for 5 years. Currently, I'm using naive method to forecast 12 months (h=12)and it does work very well I want to forecast only for one month (h=1) ...
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1answer
31 views

Forecasting a transformed time series

I have fitted a seasonal ARIMA model using R to a log transformed times series which I called lnseries. I can forecast fine for the transformed time series (...
3
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0answers
36 views

Seasonal ARIMA Forecast

I'm studying ARIMA at the moment with application to seasonal data sets. R lets you forecast using selected models but I'm just wondering what formula is used to compute these forecasts. For example, ...
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0answers
13 views

Forecasting Using the xreg parameter in forecast.gts with several external variables with different values per each time series (hts package) [migrated]

I'm currently using the forecast.gts (hts package) with a single external variable that hold the same values for all individual time series in order to create a 30 ...
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1answer
42 views

Choosing the right ARIMA model in MATLAB

I have a problem regarding choosing the right model for historical data that I need to forecast. when drawing the ACF and PACf, a clear seasonality appears at lag 24 as you can see in the figure: I ...
2
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1answer
79 views

How to “undifference” a time series variable

I need to "undifference" or "integrate" a time series variable. In its current state, it is twice-differenced (a money market, cash return proxy variable that was I(2) to achieve stationarity). I ...
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1answer
45 views

Task Completion Forecasting [closed]

First off, I am not familiar with forecasting at all so I am kind of lost... Since I am familiar with Excel, I have been put in charge with forecasting task completion by 30 minute time intervals at ...
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0answers
5 views

Rolling window in time (t) to compute forecasting [migrated]

I want predict using Recursive Method. Each month (t) i need to roll my data window regarding the last month, one month ahead (t+1) ...
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0answers
21 views

If peak was higher than normal, why does updated arima model overestimate activity in remaining time series?

I have a number of time series with strong seasonality and I am using auto.arima() from R's Forecast package along with Fourier and dummy/explanatory variables to address the seasonality to make ...
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1answer
82 views

Forecast Vs Actual accuracy calculation

I have two time series, first is forecasted values (results of some forecasting algorithm) and second series is, actual values observed for same time frame. We are trying to compare both these series ...
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36 views

Forecasting a ARIMA(1,1,1) model

ARIMA(1,1,1) process with constant term $\mu$ is $X_t=\alpha X_{t-1}+\mu+Z_t+\beta Z_{t-1}$ where $Z_t$ is white noise with mean zero variance $\sigma ^2$. Find one step and two step ahead forecast ...
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1answer
47 views

Forecast error for AR and MA process

AR(p) process is denoted by: $X_t=\mu+\alpha_1(X_{t-1}-\mu)+\alpha_2(X_{t-2}-\mu)+...\alpha_p(X_{t-p}-\mu)+Z_t$ I don't understand forecast error. Let $\epsilon_{t+l}$ be the forecast error at $l$ ...
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1answer
27 views

In triple exponential smoothing, what is the proper formula for recalculating gamma (seasonality)?

A pretty targeted but precise question -- In triple exponential smoothing (which there are many combinations of additive, multiplicative). What is the proper formula for calculating the new ...
2
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1answer
65 views

Hourly predictions using time series

I'd like to build a model based on time series. I have a dataset with records every 30 minutes for three months. What is the difference between modeling these data with the following kinds of ...
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1answer
28 views

Selecting the best (or more suitable to the user/client) output from a set of forecasts

I have approximately 3000 products for which I have to forecast in every, say, 2 months. I have the code in place for different forecasting models such as ARIMA, forced seasonal ARIMA, STLF etc. Now ...
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0answers
16 views

Forecasting Unobserved Values from a Bayesian Multilevel Model

I'm interested in forecasting from a Bayesian multilevel logistic regression. The setup is as follows: $$y_{i,j} \sim \mbox{Bernoulli}(p_{i,j}) \\[0.5em] \mbox{logit}(p_{i,j}) = \beta_{0,j} + ...
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3answers
127 views

Are time series methods only good for forecasting?

Many time series methods are oriented solely in terms of forecasting (e.g., ARIMA). However, it seems like a growth curve modeling framework (i.e., random coefficient modeling) can do virtually ...
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32 views

Can you generate confidence intervals for time series ETS forecast components?

Suppose you fit a time series with the ets function from the forecast package in R: ...
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1answer
44 views

How to select the best ARIMA order with low MAPE in R

I would like to have the best ARIMA model prediction that has the lowest MAPE or lowest AIC/BIC. For example, I would want to change the Arima order automatically with loop or some other way and want ...
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2answers
37 views

Forecasting product of two time series with correlation

I am trying to forecast the product two time series. That is, given $\{x_t\}_{t=0}^{T-1}, \{y_t\}_{t=0}^{T-1}$, forecast $x_T\cdot y_T$. The two time series have minimal but nontrivial correlation ...
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67 views

Generalized Linear Models vs Timseries models for forecasting

What are the differences in using Generalized Linear Models, such as Automatic Relevance Determination (ARD) and Ridge regression, versus Time series models like Box-Jenkins (ARIMA) or Exponential ...
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0answers
30 views

Multi-​​step fore­casts with­out re-​​estimation for weekly data [closed]

I am trying to replicate the code written by Prof. Rob on Multi-​​step fore­casts with­out re-​​estimation for weekly data. How to write the below code for weekly time series data? I have weekly data ...
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25 views

General forecasting formula for ARIMA(p,d,q)(P,D,Q)s

what is general forecasting equation for sARIMA(p,d,q)(P,D,Q)s.? I wrote this equation, can someone confirm if it is a correct one? $\overline{y}_{t+m}=\frac{ (\varphi_{1}y_{t} + ...
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26 views

MIDAS Forecasting in R, using midasr package

I am attempting to provide a forecast on yearly data using monthly data as a regressor variable via the MIDAS regression from the midasr R package. Here is my data: y is yearly data ...
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36 views

How can i do time series forecasting with missing data

I am relatively new to time series forecasting, I have worked previously with continuous data at regular intervals successfully, Now I have a data set with missing values, for example look at the ...
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1answer
81 views

R forecasting, flat forecast

I’m trying to produce a hourly, daily forecast for revenue in R. I set seasonal periods to 24, for 24 hours, and 365.25 for days in a year. I attached the fit vs actual plot and the forecast produced ...
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0answers
28 views

auto.arima prediction

I have this time series of call volume of a contact center. It is composed of 15565 points where every 48 points represents one day. I used 12960 points as training set for the auto.arima model. ...
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0answers
21 views

How to model and forecast spike cycles in a time series

I’d like to model repeating peaks of various periodicity of a time series as a curve. Here’s the general scenario: A device under measurement experiences reasonably regular voltage spikes every N ...
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1answer
66 views

Explain the croston method of R

I am using crost() function of R for analyzing and forecasting intermittent demand/slow moving items time series. I am having difficulty in understanding the ...
2
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2answers
61 views

forecasting sharp seasonal peak in time series

I have time series data on a daily level over the past 4 years. What is clear from examining past data is that there are two very clear peaks in the time series around the same time of year (they ...
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1answer
27 views

Prediction period is coming wrong in the HoltWinters in R

I am Using Holt-Winters model for the forecasting. Below is the way I am proceeding: ...
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2answers
24 views

General forecasting equation for ARIMA(p,d,q)(P,D,Q)s

what is general forecasting equation for ARIMA(p,d,q)(P,D,Q)s.? I wrote this equation, can someone confirm if it is a correct one? If not, can someone correct it? Thank you in advance! ...
2
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1answer
72 views

How to determine Forecastability of time series?

One of the important issues facing forecasters is if the given series can be forecasted or not ? I stumbled on an article entitled "Entropy as an A Priori Indicator of Forecastability" by Peter ...
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1answer
22 views

Principled way of combining time series with different spans and granularity into an econometric model

I want to forecast the price of something given various time series as inputs. The problem is that they are of different frequency (annual, quarterly, monthly, daily) and time periods (the more ...