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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18k views

How to know that your machine learning problem is hopeless?

Imagine a standard machine-learning scenario: You are confronted with a large multivariate dataset and you have a pretty blurry understanding of it. What you need to do is to make predictions ...
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4answers
3k views

Assessing forecastability of time series

Suppose i have a little over 20.000 monthly time series spanning from Jan'05 to Dec'11. Each of these representing global sales data for a different product. What if, instead of computing forecasts ...
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2answers
2k views

How to determine Forecastability of time series?

One of the important issues being faced by forecasters is if the given series can be forecasted or not ? I stumbled on an article entitled "Entropy as an A Priori Indicator of Forecastability" by ...
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1answer
1k views

Relationship between forecast bias and accuracy for situations with constrained supply

Consider a forecast process which is designed to create unconstrained end-customer demand forecast. This means that the forecast generation process does not consider supply or distribution constraints....
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0answers
749 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:...
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1answer
28 views

I need help with choosing a mid-long term forecastic method for this demand

I am trying to forecast the demand of a product for the next 36 months, based on its sales history. The demand plot is shown below. I honestly don't know what to do with it. I tried linear and non-...
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0answers
646 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 $E[u_t|Y_{t-1}]\neq 0$. ...
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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 ...
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1answer
55 views

Is it possible to do an adequate prediction on tiny sample?

I have a financial time series, x, it's length is n=8 observations only. Each observation corresponds to the quarterly costs (...
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1answer
34 views

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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0answers
14 views

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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0answers
15 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 ...
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1answer
87 views

How to restrict forecasts from a VAR model to be nonnegative?

I have two variables, assets and operating expenses year-ends for roughly 20 years. I would like to fit a VAR model with these two in order to forecast a couple years ahead. 1) The trouble is that ...