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I'm looking for someone who is familiar with the ITSM software. I have some data that needs to be fit with an ARIMA/SARIMA model and then forecast using Holt-Winters/Seasonal method. I then need to compare them using RMSE and MAPE.

I'm completely unfamiliar with ITSM and just need some help on the commands required to perform each of the above functions. The ITSM manual that comes with the download was not very helpful.

If ITSM is not your forte, is there another easily available program that would perform all of these functions for me?

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    $\begingroup$ Have you considered using r? The HoltWinters function is in the stats package (auto-installed, I believe), and the astsa package hosts the sarima function. Compared to many statistical software manuals, documentation for R is phenomenal :) $\endgroup$ – Nick Stauner May 7 '14 at 23:15
  • $\begingroup$ I might just have to. I have figured out how to fit an ARMA model and do the forecasting. I'm just confused if it is even possible to get the RMSE and MAPE values from ITSM. $\endgroup$ – Ashley May 7 '14 at 23:32
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If you are just starting to use/learn forecasting software, I would recommend a superb package called forecast in R, you could try this package. It has all the functions/methods that you mention, and much more. This package has an automatic ARIMA method and many other automatic methods.

If you are looking for commercially available dedicated forecasting packages you could also use either commercially available packages such as ForecastPro or Autobox. Both have their own strengths and weaknesses. I would ask for an evaluation version/test on your data.

Hope this is helpful.

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  • $\begingroup$ I tried to download the forecast package but the Arima function cannot be found. Unfortunately, the arima function alone doesn't appear to be sufficient. Is there anything else you can suggest to me? R also can't find the forecast function. Also, how would I find the RMSE and MAPE values through this package? $\endgroup$ – Ashley May 8 '14 at 1:21
  • $\begingroup$ I'm trying to get something similar to this approach (otexts.org/fpp/8/7) but the Arima function just isn't being found, and neither is the forecast command. $\endgroup$ – Ashley May 8 '14 at 1:27
  • $\begingroup$ auto.arima is the arima function in forecast package. I'm not sure if I'm following your question. What is your objective ? is this a class project/home work? This chapter otexts.org/fpp/8/9 shows how to forecast. $\endgroup$ – forecaster May 8 '14 at 3:09

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