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First of all … you should model what is observed NOT what is accumulated . Secondly an ARIMA model can evolve into a time trend model with Intervention Detection with the potential of detecting breakpoints in trend. Stay way clear of simple ols models with trend or trend squared unless theory ( domain knowledge )tells you so .

Closely review a piece I wrote contrasting and comparing ARIMA with Regression a few years back. https://autobox.com/pdfs/regvsbox-old.pdf

EDITED AFTER RECEIPT OF INTERMITTENT DEMAND DATA:

The data you have ( although daily ) does not have values for every day thus one can't build a daily model like Simple method of forecasting number of guests given current and historical data

Secondly you don't have data for each and every week of the year thus you can't build a weekly model as is done in these examples https://stats.stackexchange.com/search?q=user%3A3382+weekly

So all you have left is a monthly model. I propose that you reassemble your data into monthly buckets (totals by month) and repost your data to the web and I will try and help further.

EDITED AFTER RECEIPT OF 46 MONTHLY VALUES STARTING ATT 2012/3:

You say "how poorly ARIMA model is predicting my monthly data: . I say your chice of arima software and approach is performing poorly due to at least 3 Gaussian violations viz 1) There are identifiable pulses in the data ; 2) There is an identifiable level/step shift down in the data ; 3) there is an identifiable error variance reduction/change in the data. I used AUTOBOX which I have helped to develop which has features to deal with data like this.

Your data is here enter image description here

A useful arima model is here (2,0,0)(0,0,0)12 enter image description here and here enter image description here

A significant reduction in the model error variance was detected at period 27 enter image description here

The Actual/Fit and Forecast graph is here enter image description here

First of all … you should model what is observed NOT what is accumulated . Secondly an ARIMA model can evolve into a time trend model with Intervention Detection with the potential of detecting breakpoints in trend. Stay way clear of simple ols models with trend or trend squared unless theory ( domain knowledge )tells you so .

Closely review a piece I wrote contrasting and comparing ARIMA with Regression a few years back. https://autobox.com/pdfs/regvsbox-old.pdf

EDITED AFTER RECEIPT OF INTERMITTENT DEMAND DATA:

The data you have ( although daily ) does not have values for every day thus one can't build a daily model like Simple method of forecasting number of guests given current and historical data

Secondly you don't have data for each and every week of the year thus you can't build a weekly model as is done in these examples https://stats.stackexchange.com/search?q=user%3A3382+weekly

So all you have left is a monthly model. I propose that you reassemble your data into monthly buckets (totals by month) and repost your data to the web and I will try and help further.

First of all … you should model what is observed NOT what is accumulated . Secondly an ARIMA model can evolve into a time trend model with Intervention Detection with the potential of detecting breakpoints in trend. Stay way clear of simple ols models with trend or trend squared unless theory ( domain knowledge )tells you so .

Closely review a piece I wrote contrasting and comparing ARIMA with Regression a few years back. https://autobox.com/pdfs/regvsbox-old.pdf

EDITED AFTER RECEIPT OF INTERMITTENT DEMAND DATA:

The data you have ( although daily ) does not have values for every day thus one can't build a daily model like Simple method of forecasting number of guests given current and historical data

Secondly you don't have data for each and every week of the year thus you can't build a weekly model as is done in these examples https://stats.stackexchange.com/search?q=user%3A3382+weekly

So all you have left is a monthly model. I propose that you reassemble your data into monthly buckets (totals by month) and repost your data to the web and I will try and help further.

EDITED AFTER RECEIPT OF 46 MONTHLY VALUES STARTING ATT 2012/3:

You say "how poorly ARIMA model is predicting my monthly data: . I say your chice of arima software and approach is performing poorly due to at least 3 Gaussian violations viz 1) There are identifiable pulses in the data ; 2) There is an identifiable level/step shift down in the data ; 3) there is an identifiable error variance reduction/change in the data. I used AUTOBOX which I have helped to develop which has features to deal with data like this.

Your data is here enter image description here

A useful arima model is here (2,0,0)(0,0,0)12 enter image description here and here enter image description here

A significant reduction in the model error variance was detected at period 27 enter image description here

The Actual/Fit and Forecast graph is here enter image description here

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Source Link
IrishStat
  • 30k
  • 5
  • 36
  • 60

First of all … you should model what is observed NOT what is accumulated . Secondly an ARIMA model can evolve into a time trend model with Intervention Detection with the potential of detecting breakpoints in trend. Stay way clear of simple ols models with trend or trend squared unless theory ( domain knowledge )tells you so .

Closely review a piece I wrote contrasting and comparing ARIMA with Regression a few years back. https://autobox.com/pdfs/regvsbox-old.pdf

EDITED AFTER RECEIPT OF INTERMITTENT DEMAND DATA:

The data you have ( although daily ) does not have values for every day thus one can't build a daily model like Simple method of forecasting number of guests given current and historical data

Secondly you don't have data for each and every week of the year thus you can't build a weekly model as is done in these examples https://stats.stackexchange.com/search?q=user%3A3382+weekly

So all you have left is a monthly model. I propose that you reassemble your data into monthly buckets (totals by month) and repost your data to the web and I will try and help further.

First of all … you should model what is observed NOT what is accumulated . Secondly an ARIMA model can evolve into a time trend model with Intervention Detection with the potential of detecting breakpoints in trend. Stay way clear of simple ols models with trend or trend squared unless theory ( domain knowledge )tells you so .

Closely review a piece I wrote contrasting and comparing ARIMA with Regression a few years back. https://autobox.com/pdfs/regvsbox-old.pdf

First of all … you should model what is observed NOT what is accumulated . Secondly an ARIMA model can evolve into a time trend model with Intervention Detection with the potential of detecting breakpoints in trend. Stay way clear of simple ols models with trend or trend squared unless theory ( domain knowledge )tells you so .

Closely review a piece I wrote contrasting and comparing ARIMA with Regression a few years back. https://autobox.com/pdfs/regvsbox-old.pdf

EDITED AFTER RECEIPT OF INTERMITTENT DEMAND DATA:

The data you have ( although daily ) does not have values for every day thus one can't build a daily model like Simple method of forecasting number of guests given current and historical data

Secondly you don't have data for each and every week of the year thus you can't build a weekly model as is done in these examples https://stats.stackexchange.com/search?q=user%3A3382+weekly

So all you have left is a monthly model. I propose that you reassemble your data into monthly buckets (totals by month) and repost your data to the web and I will try and help further.

Source Link
IrishStat
  • 30k
  • 5
  • 36
  • 60

First of all … you should model what is observed NOT what is accumulated . Secondly an ARIMA model can evolve into a time trend model with Intervention Detection with the potential of detecting breakpoints in trend. Stay way clear of simple ols models with trend or trend squared unless theory ( domain knowledge )tells you so .

Closely review a piece I wrote contrasting and comparing ARIMA with Regression a few years back. https://autobox.com/pdfs/regvsbox-old.pdf