# 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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### Uncertainty of additively combined models

I'm dealing with sales forecasts (time-series with few data points) for a company on a department level (one company consists out of multiple departments). My approach is it to build a time-series ...
76 views

### How to predict how the time series behaves in the future?

I was wondering how a statistician estimates how a time series continues. Namely, which is more accurate way to estimate the series? Draw a line between start and end points of the time series data ...
26 views

### Forecasting for Regression with sARIMA errors only needing new xreg's

I would like to get a better sense of why we only need new exogenous regressor data for forecasting Regression with sARIMA errors to new time periods, and not new time series data. Specifically what ...
179 views

### K in Fourier series - How to find value of K to use it in ARIMA?

I am using the forecast library for doing some time series forecasting. I need to forecast number of sold items. I am planning to add holidays as xreg in auto.arima. The holiday will be a 0/1 list, ...
2k views

### Usage of tsclean() in time series data

Consider the scenario, where I have many time series data. I have to make predictions for all.I made a ts object out the data. The data may contain outliers. I am not sure of it. But I always pass ...
19 views

### Narrowing down model for 2-independent variable time series forecasting

I've got a project I'd like to start working on and it roughly goes like this: I have past time series data for thousands of products that a company produces. There is a high weekly and yearly ...
27 views

### How to fit a regression model with ARIMA errors on the seasonally adjusted component of a time series (in R)?

I want to do these two things (combined) with a time series T: forecast the seasonally adjusted component of T (STL used for the decomposition) and "add back" the seasonality (I assume that the ...
171 views

### Flat forecast of trended time series data in r

I have a monthly time series of online visits for last 3 years starting from Jan 2016 to Dec 2018 and need to forecast for 2019. The data clearly has an upward trend although no seasonal lags ...
2k views

### Determine best ARIMA model with AICc and RMSE

I have done a training set to fit different ARIMA models and then a test set to assess their performance (with R). From what I understood, I can use the AICc to determine the best model by choosing ...
22 views

### ML preprocess to achieve stationarity

I would like to use Machine learning models on top of multivariate time series data to forecast long horizons (for example 400 items and their historical sales in the last year & content features)...
251 views

### Suggestions for Neural Network Structure for Time-Series prediction with constant covariates

I've been working on a time series prediction problem and wondered if someone has run across a similar problem structure & can make a suggestion on how to structure the training data, network, or ...
59 views

### Is it possible to forecast multivariate time series using exponential smoothing equations? If yes what are those equations?

I know we can forecast univariate time series using different models of exponential smoothing , but am searching for whether same can be extended to multivariate time series and if yes what are those ...
78 views

### book recommendation: statistics (time-series) for small samples [closed]

I was hoping someone could recommend a good book on statistical methods for time-series on small data samples. We are really looking to do some forecasting/extrapolation given 13 years of previous ...
20 views

### weekly forecasting

I am building a weekly forecasting model using dynamic harmonic regression model with Arima errors and Fourier terms. My understanding is that Fourier terms take care of seasonality of any length ...
25 views

### Capturing cycles in time series with Fourier

In time series regression with Fourier, Fourier terms are limited to maximum half of the frequency of time series to capture seasonality. my question is: Can we extend Fourier terms beyond half of ...
471 views

### What is the difference between ARMA+Fourier and TBATS model?

I am just wondering that, in terms of the multi-seasonal time series forecast, what is the difference between using auto.arima find the ARMA order, then fit ...
30 views

### time series forecasting - predicting the next 24 hours

I have much the same problem as predict-the-next-24-hours, I have several years of hourly data of demand, and I would like to predict the next 24 hours. Ignoring the multi-seasonality issues - is it ...
70 views

### WMAPE / WAPE for the evaluation of time series with positive and negative values

I have a time series y that has both positive and negative that I want to predict. For the prediction I normalize the values to a range between 0 and 1. If I give ...
40 views

### Prediction interval for multi step forecast

If I have a multi-step forecast of some timeseries, where the model is some auto-regressive function y[t] = f(y[t-1],x1[t],x2[t]) is it a valide approach to use sections of historical data to train ...
40 views

### Adjustment of the forecast of a time series for the analysis of a system

I have a simulation model of a system which receives a forecast of a time series as input. In my scientific work I would like to examine how the performance of the simulation model behaves in relation ...
334 views

### Forecasting energy consumption with ARIMA and regressors

Known data, 4 years of daily energy consumption correlated with temperature, seasonal calendar and holidays. Required forecasting for next days depending on known variables like temperature and ...
40 views

### Demand forecasting

I am forecasting number of phone calls (y) i ll be getting based on the products sold(x) and I am doing the following: (forecasted y) = (y/x averaged for past three weeks) * (forecasted x). 1. Please ...
23 views

### Improving accuracy in time series forecasting [duplicate]

I am trying to forecast a very typical sales data. I have tried Arima, ETS, Holtwinters and even neural networks but I can't get a model with more than 40% accuracy [Absolute sum of(forecast-Actual)/...
37 views

### What is a Good Error Target

I am modeling a forecast for product categories using auto Arima in R. I'm getting MAPE of between 9-15% on average. We don't have any historical records of forecasts vs actual so I don't know how ...
98 views

### Should I avoid mixed ARMA models?

I have hourly demand data for taxi rides that spans several years into the past. I want to use it in order to forecast future demand (for the next day). Robert Nau warns against the usage of a mixed ...
85 views

### Forecasting many stores sales with optimal reconciliation and regression

I am forecasting many stores sales via the optimal reconciliation approach. The problem is that forecasts are not as accurate as I would like. Edit: Part of the problem is that a small subset of ...
20 views

### What forecast method is correct to apply to data in range -1 to 1

I have metrological data they strictly have range -1 to 1. For example -0,97654 0,0376544 0,049765976 -0,578 measurement values are tied to a point in time ....
42 views

### Any ideas on how to forecast this timeseries?

I have the following timeseries and unfortunately no other information except time and holidays. What methods could work for a probabilistic forecast of this? I thought about some regime changing ...
3k views

### Difference between forecasting accuracy and forecasting error?

I am working on a demand forecasting project and I am puzzled by the client's standards of forecast evaluation. The MAPE (Mean Absolute Percentage Error) with the sample data Forecast = 300 and Demand ...
24 views

### auto.arima with an input of another series

Two time series, which are related to each other. I want to see if "order" helps in predicting sales, by running auto.arima ...
31 views

### Why forecast::accuracy() mape is working with 0/0?

I'm learning now some metrics of goodness about time series forecasting, using the forecast package, but I'm stuck in something that surely I've not understood well....
2k views

### What's a time series model for forecasting a percentage bound by (0,1)?

This must come up---the forecasting of things that are stuck between 0 and 1. In my series, I suspect an auto-regression component, and also a mean-reverting component, so I want something that I can ...
16 views

### What are good public datasets for time series analysis with “certified” (by papers in the literature) good predictors of the target variable? [closed]

I have to test different models for time series forecasting and predictors (exogenous covariates) goodness evaluation and I would like to use datasets used in relevant scientific publications that ...
163 views

### Ljung-Box test on a out of sample residue with good forecast

To test the fbprophet library, I created a very simple synthetic series and generated a model like this: ...
28 views

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### 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, ...
112 views

### Is time series analysis suitable for my dataset?

I am monitoring user behavior, while the user interacts with a form on a website. That form has multiple textfields from top to bottom and at the bottom it has two buttons: "cancel" and "save". My ...
16 views

### Choosing the correct moving average model

I am working with the in built Air Passenger data set in R to learn forecasting. After splitting the data in 120:24 data points, I am trying to extract trend ...
35 views

### How to measure/rate the effect of a exogenous covariate in a ARIMAX Model?

I have an ARIMA model, I'm trying to figure out how much an external variable (exogenous covariate) could improve the forecast, so I need to "synthesize" a rate that tell me the usefulness (or impact) ...
43 views

### Product mix forecasting method

I have a main segment which includes different products. I have the percentages for each product and two year quarterly data. By using this information I want to forecast next years' percentages. I ...
661 views

### machine learning algorithms (Xgb, LSTM, others) for time series forecasting

I have seen many kernels that are using machine learning algorithms (Xgb, LSTM, others) on time series forecasting. A time series data typically has trend and seasonal components. In general my ...
130 views

### Selecting ARIMA orders based on ACF-PACF vs. auto.arima

I use R to fit an ARIMA model to a time series (yearly granularity): ...
48 views

### Out of sample and In sample forecasting - R squared

Can anyone explain why R2 (R-squared) for out of sample forecasting is likely to be smaller than R2 for in-sample forecasting?
29 views

### Deciding Rolling mean and standard-deviation Window of a Time-Series Distribution

I have a Daily time-series data of 6 years. And I need to do Weekly forecasting on this Daily-basis data. Before forecasting, I want to find rolling mean & STD to determine the stationarity of ...
30 views

### Loan Vintage balance forecast

I have a Monthly Vintage level balance data from 2013-Jan at each Time on books/Month on books ( TOB_calculated). What is the best approach to project loan balance for the next 17 months for each of ...
1k views

### How to select between Holt Winters Model and ARIMA

I need to do sales forecasting.My historical data shows stationary pattern & present of trend,Seasonality & cyclic pattern. I would like to check with you that how to select between Holt ...
10k views

### forecast using arima models [closed]

I am trying to predict values using arima(0,1,1). After doing predict(mod,n.ahead=5) (in R) am getting the same value for all ...