5
votes
0answers
26 views

Multivariant time series in R. How to find lagged correlation and build model for forecasting

I'm new in the page and pretty new in statistics and R. I'm working on a project for college with the objective of finding the correlation between rain and water flow level in rivers. Once the ...
1
vote
2answers
63 views

How to produce the minimum forecast error using R?

Considering that we want to use optimize() on the interval [0,1] how can I write an R code for finding the value of β that produces the minimum forecast error without using external packages like ...
0
votes
0answers
16 views

How to compare forecasting methods: based on ARIMA and curve fitting?

I'm making a project connected with identifying the dynamics of sales. My database concerns 26 weeks (so equally in 26 time-series observations) after launching the product. I want to make forecast ...
1
vote
1answer
39 views

Strange results in Holt forecast

I am trying to understand what could be causing these strange values to appear on applying a Holt model to a vector. The data represents actual sales of an item. ...
0
votes
0answers
44 views

What is the difference between forecasting based on ARIMA and logistic curve? R

I'm making a project connected with identifying the dynamics of sales. My database concerns 26 weeks (so equally in 26 time-series observations) after launching the product. This is what my database ...
1
vote
1answer
66 views

Forecasting with holiday dummy variables

I have an example of call center data for 2013. There are 261 days of data (excluding weekends). For 2013, I have included a holiday dummy variable (holiday) for ...
2
votes
2answers
110 views

Special method for forecasting on time-series clusters in R?

I'm doing a project related to identifying sales dynamics. My database contains 26 weeks after launching the product (so 26 time-series observations equally spaced in time). I used two methods ...
0
votes
1answer
34 views

Want to make a function which allows for recursive window forecasting

I have been looking for a function that can make recursive window out-of-sample forecasts, but seems there is none. So I'm thinking about about making a function that can be used for recursive window ...
0
votes
0answers
24 views

(R) Automatically calculate optimized Arima(p, d , q) value [migrated]

I'm developing automatic forecast Software with JAVA & R. The following steps are used in R to forecast next 18 values: ...
0
votes
0answers
25 views

Forecast mean and variance for group data

Apologies if this is a bit of a simple question, but I haven't been able to find any answer to this over the past week and it's driving me crazy. Background Info: I have a dataset that tracks the ...
0
votes
0answers
15 views

Which method(s) for forecasting time series of event durations

I have the $N$ individuals each observed for $T$ days. For each individual I have some basic demographic data. Each $n$ individual, during the observed time $T_n$ may experience event $E$ which is ...
0
votes
1answer
95 views

R time-series forecasting with neural network, auto.arima and ets

I've heard a bit about using neural networks to forecast time series. How can I compare, which method for forecasting my time-series (daily retail data) is better: auto.arima(x), ets(x) or ...
1
vote
0answers
124 views

Forecasting daily data with trend, yearly, day of the week, and moving holiday effects

I'm expanding a question I posed earlier because I think it was lacking detail. I'm attempting to forecast daily demand for a restaurant that sells take away food, primarily to office workers on ...
1
vote
1answer
183 views

Time series forecasting using R

I have many time series(retail data). Some with trends, some seasonal, and some with neither. With period day, week or month. I need to make forecast, for each time serie. I'm looking for the most ...
2
votes
1answer
65 views

Forecasting irregular time series (with R)

There are several methods to make forecasts of equidistant time series (e.g. Holt-Winters, ARIMA, ...). However I am currently working on the following irregular spaced data set, which has a varying ...
0
votes
0answers
20 views

R: One period our cross validation with time series

I have quarterly data with one causal variable (X) and one dependent variable (Y). 30 such observations. I have the X variable for a quarter, and I'm seeking to predict that quarter's Y. The ...
1
vote
0answers
71 views

Time series modeling with R on weekly data

I am trying to do time series modeling and forecasting using R based on weekly data like below - ...
0
votes
1answer
39 views

Why are fitted values different from one-step ahead forecasts?

Let's say I fit an ARIMA model on a time series up to date t. I want to forecast the 10 next values without refitting the model but also using the latest data available for each date. So forecast ...
0
votes
0answers
33 views

fpp forecasting using AWS ubuntu

Is the package fpp (or any of its previous incarnations like forecast) supported in Ubuntu 12.04 using AWS? It is the only package that R downloads but when you load the library it throws an error. ...
1
vote
1answer
73 views

How to get the true mean forecast using the Arima package with a Box-Cox transformation

In the Arima package, using a Box-Cox transformation give wrong results when later applied to the forecast method. For example, consider this data: ...
0
votes
0answers
26 views

Basics of forecasting [duplicate]

Can you nominate which are the steps which I need to follow in order to get a basic grasp into the field of forecasting? which are the "must to know things"?
0
votes
2answers
100 views

step by step tutorial for newbie

I'm looking to join the field of statistics and more exactly to forecasting. I'm a software developer and I just started playing with R. Can you recommend me some tutorials related to forecasting, ...
1
vote
0answers
76 views

What is the frequency of a time series for hourly data?

I am using R for time-series analysis and predictions, the package 'forecast' to be more precise. I am in a dilemma. I have hourly data that needs a prediction and needs to be analysed. I am using the ...
4
votes
3answers
261 views

Performing a time series ARIMA model on natural gas power demand using the forecast package from R

I've been attempting to forecast natural gas power demand and how it is affected by temperature and price. I'm not sure if I have done everything correctly (relatively new to R), but I do seem to get ...
4
votes
1answer
89 views

Forecasting high frequency variable with low frequency predictor

Newbie here to forecasting and I have a very basic question. I have 2 distinct time-series data. Time Series A is Weekly (High frequency) Time Series B is Monthly (Low frequency) I need to ...
3
votes
1answer
74 views

When does AIC lose its power to discriminate models?

There are two simple questions at the end, but I think it is also useful to share the background that motivated them. It comes from this question on an unexpected forecast from the fully automatic ...
0
votes
0answers
35 views

Predicting trend component using theta method

I have a gold price series data. I want to make a forecast of gold price series. First, the series is decomposed with STL, and then each component is predicted using GRNN and theta method. The theta ...
0
votes
0answers
43 views

Prediction intervals predict.Arima r

I would like to ask how the long-term (multiple step ahead) prediction intervals are calculated by function predict.Arima in R. I am particularly interested in ...
0
votes
1answer
99 views

Using Moving-average smoothing in forecast package [closed]

I tried to use the non-centred moving average, that means just using past values by setting the option centre = FALSE, but unfortunately you get the centred results. Can anyone detect the failure ...
1
vote
1answer
70 views

Forecasting asset returns using index models in R

How do you forecast returns and the associated risk in R using index models? How do you represent risk in multi index models as a single value in R?
1
vote
0answers
105 views

R - ARIMA model with long seasonal periods - Error: “length of x and xreg does not match”

i want to use an ARIMA model in R for predicting an electrical load on a minutely basis. By examining the ACF I figured out which model could suit. The ACF has shown that the value one day ahead has a ...
2
votes
1answer
67 views

Forecast and STL are sensitive to last few data points

I'm working on a time series containing hourly data for 8 days. Using the R forecast package, I'm trying to predict future data with ...
0
votes
0answers
74 views

How to extract bootstrap forecasts from forecast.Arima in the R package forecast?

In a forecasting context, I have two different time series: y = {y1, y2, .., yn} and z = {z1, z2, ..., zn}. In R, let's say that the two series are as follows: y <- arima.sim(list(order = ...
0
votes
0answers
47 views

Trying to Refine SARIMA models

I have a SARIMA forecast from statewide Real Estate Sales data.. but I'm not happy with it. The SARIMA parameters are confusing to say the least. I am finding that the current model is not ...
0
votes
0answers
47 views

Holt Winters for multiple customers and output with R

So I've been working through the HW work here http://a-little-book-of-r-for-time-series.readthedocs.org/en/latest/src/timeseries.html and have started testing with some "live" customer data. I have a ...
0
votes
1answer
172 views

Forecasting using Holt-Winters technique using R with less than 2 years of history

I need to do forecasting of weekly sales using Holt-Winters technique. My data have max 92 weeks of information. I'm planning to consider 72 weeks of data for training & 20 weeks of data for ...
0
votes
1answer
112 views

Forecast accuracy measures for different forecast horizon h in R

I have a yearly time series data, from 1980 to 2005. The data is splitted into an training sample and a out of sample; the out-of sample consists of the 6 most recent observations and the rest is ...
3
votes
3answers
309 views

Log or square-root transformation for ARIMA

With the below dataset, I have a series which needs transforming. Easy enough. However, how do you decide which of the SQRT or LOG transformations is better? And how do you draw that conclusion? ...
1
vote
1answer
179 views

Building a forecast model based on past year data in R

I am attempting to build a model to forecast attendance in a given week in the current year based on this year's attendance values up until the present, and data from two previous years. My data looks ...
1
vote
1answer
254 views

Is this a bug in auto arima or am I doing something wrong?

I must be doing something very wrong here, as auto.arima in R is completely dying, but I can't see what it is. I have the latest version of forecast and R and I think this happens on both Windows and ...
0
votes
1answer
325 views

Holt's Linear and Holt-Winters in R

With the below code, I have run Holt's linear and Holt-Winters forecasts using Excel / Solver. I wanted to replicate this using R (Excel can be a pain) but I am getting the below error with ...
4
votes
2answers
113 views

Predicting a baseline response using ARIMA forecasts

I have a modelling dilemma. I am creating a model that attempts to predict demand (leads not sales) based upon the correlation to advertising spend. We know that without advertising spend, demand is ...
2
votes
1answer
143 views

How to use error term in AR (2) model for predicting future values?

We use turbidity to estimate suspended-sediment concentration (SSC)- our data was serially correlated. We ran an ARMA process and ended up with a AR (2) model. Our equation in log form is: ...
0
votes
1answer
168 views

What is the reason for getting so many ”Warnings: NAs produced” while using the function ”pop.sim” in the ”demography” package

When so many warnings, what does it in fact means? Is there a problem with the validity of the stochastic forecasting models? I am doing a stochastic forecasting of a small population with approx. ...
1
vote
0answers
43 views

Forecasting using arima(1 1 1)

I want to forecast using arima(1 1 1). I have done everything but when I used the R code: ...
0
votes
1answer
96 views

How to associate daily rainfall probability with historic data

Given a rainfall forecast of d days ahead and historic data collected over y years, what's a simple (but correct) way to ...
1
vote
1answer
185 views

time series decomposition/dtrending using splines

Is there a way/method/approach to decompose a time series data using regression splines: Seasonal time series into trend+seasonal+random component ? A non seasonal time series into trend+random ...
1
vote
1answer
181 views

Residuals in R using auto.arima and forecast package

I am fitting a model using the auto.arima function in package forecast. I get a model that is AR(1), for example. I then extract ...
0
votes
1answer
122 views

Time series: ets() Box Cox transformation and AICc comparation

I am using ets() from the R forecast package and AICc criterion to select the best model. Suppose we have a time series denoted ...
2
votes
1answer
305 views

auto.arima and prediction

I'm really new to ARIMA methods and am trying to forecast electricity load. I've integrated: electricity load, temperature, weekday (dummy), public holidays, and school holidays. My model tries to ...