0
$\begingroup$

I have tried forecasting in R using ets(). I let ets choose the best model for my data. The problem is i observed that eventhough the data shows an increasing trend and exhibits seasonality, ets is giving MNN model while MAM gave best results(i have chosen MAM after seeing the graph of the time series). ets selects a model based on low AIC,right? why is it selecting MNN when MAM is giving relatively low AIC value.So kindly list a procedure to forecast future values for a timeseries whose seasonality, trend are not known before hand i.e. automation of the forecast procedure.

New Edit: my data is given below:

date,value
01/08/2012,262830
01/09/2012,4849602
01/10/2012,6341298
01/11/2012,6814589
01/12/2012,9494411
01/01/2013,10559931
01/02/2013,12113638
01/03/2013,15668512
01/04/2013,933441
01/05/2013,2701218
01/06/2013,4332092
01/07/2013,7537763
01/08/2013,8485541
01/09/2013,10171206
01/10/2013,11501464
01/11/2013,11464229
01/12/2013,16046044
01/01/2014,16881837
01/02/2014,17942038
01/03/2014,22527927
01/04/2014,944640
01/05/2014,3246315
01/06/2014,5796971
01/07/2014,8759231

I used frequency=12 in ts object creation. i used na.approx to interpolate values for missing dates if any. Then i used ets with model="ZZZ" and damped=NULL. ets has chosen MNN model but the data has increasing trend and also exhibits seasonality. Shouldn't it choose MAM? Here is the graph of input and outptut

enter image description here

data in orange is given data

adding the code here: ('modval' is obtained after interpolation is applied to 'value' in case of missing dates)

myts<-ts(modval,frequency=12)
fit<-ets(myts,model="ZZZ",damped=NULL)
result<-forecast(fit,h=12,level=95)
resultframe<-as.data.frame(result)
pointforecasts<-resultframe[,1]
lowerboundofPI<-testframe[,2]
upperboundofPI<-testframe[,3]
$\endgroup$

migrated from stackoverflow.com Jan 29 '15 at 1:15

This question came from our site for professional and enthusiast programmers.

  • $\begingroup$ Please provide a reproducible example. $\endgroup$ – forecaster Jan 29 '15 at 4:10
  • $\begingroup$ No the data does not have increasing but rather multiplicative seasonality were seasonal fluctuation increases with level of series. An appropriate transformation like log would reveal that there is no trend. I'll try to post something today. $\endgroup$ – forecaster Jan 29 '15 at 12:37
  • $\begingroup$ true..i kinda got confused.so why is ets choosing MNN..it should've chosen MNM,right?..anyways i shall wait for your reply..thanks in advance.. $\endgroup$ – sadhana Jan 29 '15 at 12:46

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.