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I've been given daily data and I've trained a SARIMAX time series model in Python so that I can predict daily data if given daily input.

However, I need to forecast on a monthly or weekly level, meaning my input would be in monthly form and not daily input. How do I go about forecasting with my current (daily) model in a different time interval?

Do I need to recreate my model so that it's trained on weekly/monthly data?

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Develop your daily model taking into account day-of-the-week, day-of-the-month, lead and lag effects around holidays, level shifts, monthly effects, time trends etc. .

Now forecast out 1 period and generate a family of possible values say 1000.. call that simulation1 allowing for possible pulses to occur. Now do that for period 2 while incorporating increased uncertainty ... then ... do the same for period 30.

Now accumulate all 1000*30 forecasts and then sort them from low to high. Find the 2.5% value and the 97.5% value and you will have 95% confidence limits.

See my response to ARIMA model, daily data, weekly external regressor where I discuss monte carlo simulations and the concept of combining them / aggregating them .

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  • $\begingroup$ by 'periods' are you referring to days of the month? after i get my 95% confidence limits, how do i know what values to assign to each day of the month (given monthly input)? $\endgroup$
    – tiffany123
    Jul 11, 2019 at 17:02
  • $\begingroup$ "How do I go about forecasting with my current (daily) model in a different time interval?" since you have daily data you can develop a daily forecast and using monte-carlo simulation create a family of forecasts for each day in the future and the generate a rolling sim for each day in the future. $\endgroup$
    – IrishStat
    Jul 11, 2019 at 19:07
  • $\begingroup$ are you clear on what I am suggesting ? $\endgroup$
    – IrishStat
    Jul 12, 2019 at 19:01
  • $\begingroup$ If you are happy with my answer , please accept it and close the question $\endgroup$
    – IrishStat
    Aug 15, 2019 at 7:59

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