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Questions tagged [forecastability]

Forecastability refers to how well a time series can be forecasted. It is frequently expressed as a lower bound in the achievable forecast accuracy for some error measure.

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Forecastability and Coefficient of Variation

I'm trying to get a sense check here. When determining "forecastability" for sales data, I tend to use the CV. However, this is highly susceptible to seasonality and outliers. As such, I was wondering:...
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Forecasting with a simple OLS regression

Suppose, we wish to predict future observations, e.g., by estimating the following simple AR(1) model with OLS: $Y_t=\beta_0 + \beta_1 \cdot Y_{t-1} + u_t$. Further assume that $E[u_t|Y_{t-1}]\neq 0$. ...
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Seeking advice on using time series estimation, for a specific type of data

I am new to time series modeling and am trying to come up with a solution for a problem. My problem is about estimation of next value in a time series, which is made of four components. One is picked ...
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High peaks at same fixed lag in both acf and pacf of residuals of model from auto.arima and tbats output. Really stuck with this one

I have data for every 15 mins for 4 years. ADF test shows that my data is stationary. I tried fitting model using auto.arima and seasonal=F,and I get the output as ARIMA(3,1,2) but the residual acf ...
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Forecasting time point not value

I have a simple question. when we want to forecast a time series, we always focus on the value of series in future. But could we forecast time point of spesific value? For example I would like to ...
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Forecasting with annual variable transformed into monthly

I am forecasting a series Y of monthly frequency and there is a variable X of annual frequency that would help a lot in the forecast if it had the same frequency. I decided to apply the method ...