Questions tagged [forecasting]

Prediction of the future events. It is a special case of [prediction], in the context of [time-series].

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7 views

Is there a package specific for combining forecasts?

Is there a package that has functionality (e.g. autoplot,lower/upper bounds, accuracy) for forecast that is a weighted combination of other forecasts(like ets,BATS etc). I'll know that one can use an ...
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ARMA Forecasting - Professional Work

I was curious how long does it take you to do ARMA forecasts in your professional environments? I'm getting started using the "Real Statistics" Add-On in Excel & I have only been familiar with ...
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`simulate()` method for `forecast::stlm()`?

How can I appropriately simulate() forecasts from an stlm model object? (There is currently not a simulate.stlm() method ...
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2answers
19 views

How are missing data handled in Time series estimation?

I am looking for most popular/theoretically sound methods for handling missing data in time series model (particularly ARMA class) estimation. Also what method is used in R (in arima and in forecast ...
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26 views

Multi-step ahead forecasting with LSTM neural network

I would like to forecast the heat load of a district heating network given its past values, the temperature and the 3-day ahead forecast of the temperature with an LSTM RNN. The data is hourly and I ...
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15 views

Code for best ARIMA Model using RMSE in Out Of Sample [on hold]

Reading the book "Introductory Time Series with R" from Paul Cowperwait I found a code that would select the best arima model (similar to using the auto.arima function). So I am interested in ...
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51 views

Forecasting recurring orders for an online subscription business using Facebook Prophet and R

I am analyzing data from a subscription model, in which a customer must pay a recurring price at a regular interval (30 days) for access to the product. EDIT -> Direct link to daily data: https://...
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How do you evaluate bias and/or quality of time-series forecasts

I am working on a financial model that will forecast the revenue a company generates over a fiscal quarter, and I am not sure of the best way to rigorously evaluate the bias in the model. Every day ...
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37 views

Modeling non-linear (short) time series and cross-validate them

beginner data scientist here. Time series analysis is a completly new area for me, so please correct me if i write something that makes no sense. I have many multivariante short time series, between ...
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Predicting walking routes using PyTorch

I'm working on a project that uses sensors to monitor a persons location. These devices simply record the current GPS coordinates and ping them back to a server (the coordinates will then be converted ...
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18 views

how to calculate safety stock from output of ARIMA model?

I have built an arima model using monthly sales as input suppose the output from ARIMA model is : How do we calculate safety stock for different lead times lead times (in days)?? ...
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29 views

multivariate time series: selecting a predictive model

I have a time series dataset that looks like this ...
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23 views

How to get quantiles/probabilities of time series forecasts?

my problem is as follows : I am creating demand forecasts for some goods with different methods (ARIMA, ETS,..) The issue is that I would like to forecast the probabilities of those forecasts since ...
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256 views

Deep Learning based time series forecasting

According to the paper "Statistical and Machine Learning forecasting methods: Concerns and ways forward", it looks like the recent DNN-based approach has weaker predictive power in extrapolation, i.e. ...
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Seasonal ARIMA- non stationarity after differencing and seasonal differencing

I am working with a seasonal time series, which is initially stationary. After many attempts, the best model that fits the data is an ARIMA(0,1,4)(0,1,1)[12]. However, checking for the stationarity of ...
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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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17 views

Predictive model fusion informed via observed values

Suppose I have some quantity I want to forecast, like the traffic at a particular intersection or the sales volume at a particular store. I have three sources of data to make use of: Broad-scale ...
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12 views

How to Encode Dummy Variables into a Neural Network

I am currently creating a neural network(LSTM) for electrical demand forecasting and I want to include dummy variables to tell the model to treat weekdays differently from weekends, treat working ...
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10 views

dimensionality reduction using SVD for forecasting with machine learning

I'm using a LSTM model to forecast time series data. My dataset has far too many variables and I would like to perform dimensionality reduction. My LSTM model works on a rolling window of 500. I ...
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Single Variate Fixed Period Lagged Regression

I found a relationship that seems strong, but I'm not finding corroboration of it in research papers, so, am I missing something obvious? I have data (for simplicity of explanation) ...
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40 views

How can I quantify the impact of the lag between two events that each occurred twice?

There's a question about the impact of holding sales close to one another. Last year, Sale A was held four weeks before Sale B. This year, Sale A was held three weeks before Sale B. How would I go ...
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36 views

How to predict weekly or monthly sales from daily time series model?

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, ...
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1answer
25 views

Training ARIMA based on overlapping hourly weather forecasts

I am working with hourly water level data and I plan to forecast each day the next two weeks (on an hourly base meaning 14*24 = 336 forecasts each day). My regressor is an hourly weather forecast. ...
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30 views

Median-based Versus Average-based forecast? Which is better?

When generating forecasts (e.g., product-customer time series data), should we choose an average-based forecast or median-based forecast? I recently read a very nice article by Nicholas Vandeput on ...
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How to interpret straight line as forecasting

I would like to make some short term forecasting using an AR(I)MA model. having the following daily time series, which is for the raw data: It seems to be like a white noise, based on the acf and ...
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20 views

Convert prediction for differenced Time Series ARIMA(1,0,1) and ARIMA (1,1,1)

I am working on a Time Series model, and the series appeared to be non-stationary (presence of trend). I tried 2 ways: 1) put original data into ARIMA(1,1,1) 2) manually difference first order ...
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How to Choose Error Distribution For Time-Series Model

I am modelling a set of time-series, and understand various models (ARIMA, AR, GARCH) allow for the inclusion of non-Gaussian error distributions. I am aware that, after fitting a time-series model, ...
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19 views

How to Recursively Predict a Time Series Using Neural Networks

I am currently using neural networks to forecast an electrical demand time series. I am trying to create a forecast for the following day given previous observations at half hourly intervals. My ...
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Is it a valid claim, that by differencing a time series, it loses its memory, and as a result its predictive power?

Marcos Lopez de Prado seems to be a well known and renowned machine learning expert in the field of finance. I am very far from his level, as have not yet finished my PhD in economics, and only have ...
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40 views

Forecasting high-frequency electricity data with multiple seasonalities

for a school project I need to forecast high-frequency data using different methods of my choice. Data: I have hourly data on day-ahead electricity prices and a few other variables (hourly power ...
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47 views

Do out-of-sample fitting methods solve the problem of over-fitting?

Suppose we have a regression model, and we want to fit this to training data, and then make predictions on test data. There is a well-known danger that out-of-sample predictions will be poor, due to "...
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50 views

Trend & Seasonality Determination in Time Series without looking at Graph [duplicate]

Most of the articles I have read describe determining Trends and Seasonal (TS) effects through rolling your eyes on Graphs. Graph is a nice visual representation, but I am looking a way in either ...
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60 views

Understanding MASE Value

I've looked through many of the other posts concerning the Mean Absolute Scaled Error (MASE) forecast metric and haven't been able to sort out my problem just yet. I'm working with some weather ...
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34 views

Big Mart Sales Prediction Problem

I hope that some of you are familiar with Big Mart sales prediction data that was provided by Analytics Vidhya as a contest. The problem statement of on the website is as follows: The data ...
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Why naive (prediction) forecasting is called random walk?

Why naive (prediction) forecasting is called a random walk? Naive prediction is to use the last value as a forecast. (It's clear that the best prediction for a random walk is a naive one.)
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Why are my neural network predictions so wrong when I add another variable

I have created a neural network in order to predict the following hours electrical demand depending on the previous sixty observations. However I know that temperature affects the load at a given hour ...
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1answer
56 views

What methods are available for forecasting with a sample of the data

In predictive analytics, specifically forecasting, what methods are available for getting the same predictive accuracy with $n$ (a sample of the data) which would be achievable with $N$ (all of the ...
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1answer
62 views

Why aren't my variables correlated?

I am currently doing a project on Load forecasting and it is known that in my country the temperature effects the load. I have hourly readings of Load and Temperature from the period between 01-...
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32 views

Forecasting a Step-Like Time Series

I have an interesting time series dataset. I have monthly data and I would like to forecast the next 12 months of data points. I know the dates at which the dependent variable 'may' change up or ...
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1answer
24 views

Including regressors to improve forecasts on white noise

I am conducting some time series forecasts using quite limited data, 13 years annually. Basically, I am trying to forecast companies emission totals using historical values. The historical data ...
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1answer
32 views

ARIMA for daily data over 5 years - forecast package

I have a question to auto.arima and seasonality. I have to analyze 39 single datasets which are prices of futures or equities. There are missing data which I replace with na.approx. Then I calculate ...
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34 views

Predicting n'th percentile [closed]

When we use prediction, we can only say levels. For example: We have 500 sample data for our walking range. And let's say 90 percentile is 16.0 km and 10th percentile is 0.78 km. Well, can only say ...
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1answer
19 views

Combinef in the R HTS package- net aggregation

When using the combinef function in Rob Hyndman's very useful hts library (soon to be in incorporated in the new fable library/tidyverts framework) is it possible to have subtraction at any level? ...
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1answer
16 views

Are conditional mean in an AR(1)-GARCH(1,1) equal for different GARCH(1,1) processes of the same data?

I have created a Markov-Switching GARCH model, where the volatility is defined to be switching between two different GARCH(1,1) processes. The data is assumed to have zero mean, where the data is ...
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9 views

How to forecast the future values ( test data) by making use of the fitted ARIMA model [duplicate]

I am tried as follows But problem is all the fitted values are 39 Data : Test and Train data
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16 views

How do i Remove Differencing applied to a time Series, ARIMA model?

Am trying to forecast using time series method called ARIMA. I have followed steps to build a time series model displayed in the code below. My challenge is on (Merging Actual and Forecast in One ...
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1answer
14 views

When to use Normalized Root-Mean-Squared Error vs Spearman Correlation?

I am doing some Machine Learning experiments with Azure and the graphs that it gives me are measured in Spearman Correlation vs Iteration Number (part of the machine learning) However I was just in ...
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24 views

Variance of Mean Response at the Mean of the Data

My question concerns the variance of the mean response as outlined in this short article or in this Wikipedia entry. Basically, the variance of the mean response is given by $$\text{Var} \left(\hat{\...
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Multiple & multi-step time series forecast training data with RNN

I have read a lot of discussion on how to do cross-validation on time series data (e.g. walk forward) but I failed to understand how to properly prepare the training data for multiple time series ...
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36 views

Fit and Predict Arima in R [closed]

I am trying to fit a Arima model in R with an independent variable (ARIMAX). The model fit data contains both positive and negative numbers. The issue is that after fitting the model, the predict ...