Stack Exchange Network

Stack Exchange network consists of 175 Q&A communities including Stack Overflow, the largest, most trusted online community for developers to learn, share their knowledge, and build their careers.

Visit Stack Exchange

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.

3
votes
0answers
725 views

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:...
1
vote
0answers
633 views

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 $E[u_t|Y_{t-1}]\neq 0$. ...
1
vote
0answers
50 views

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 ...
0
votes
0answers
13 views

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 ...