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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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2
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0answers
565 views

Comparing non-nested models with out of sample likelihood

I recently read a paper in which the authors claim that in order to compare the forecasting performance of two non-nested models, models A and B, a valid procedure is to fit models A and B on the same ...
3
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1answer
8k views

auto.arima from Forecast package

I am trying to fit a time series using the function auto.arima and I face some strange results. As a first try, I use the command ...
2
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0answers
719 views

Time Series Decomposition : Box Cox for Additive Decomp

Coming from basically no time series back ground, this is likely a simple question, but what is the relationship between "being able to" use an additive decomposition of a series into seasonal, trend ...
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1answer
2k views

How to regress a time series of proportions?

Every month, an organization surveys some of its customers (the total number of customers is also known). The sampled customers answer a survey with a dozen or so questions; sometimes, customers don'...
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3answers
2k views

Time Series detrending with multiple polynomials

I'm currently working on energy demand forecasting using daily load data. I'm using data since 1990 and, in order to use ARIMAX models, I detrended the data (using a first-order polynomial) and then I ...
4
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1answer
141 views

Research Methodology on Fareless Bus System

I am working on a project for a Masters Project. The town I am looking at Switched to a Fareless system in Feb 1, 2011. I want to look and see if this increased ridership by a substantial amount. I ...
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218 views

Bayesian Forecast with Minimal data

The following very simple forecast has been very helpful to me in applying basic methods.. and I have read that Bayesian methods may be superior for small data forecasting but I have not seen any ...
2
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0answers
73 views

Forecast pricing data with lead times?

I have some "big data" containing event pricing information with 45 days of lead time quotes up to the day before the event. Thus, it's structured like so: -45 100.00 -44 120.00 ... -1 110.00 We ...
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1answer
1k views

Clustering time series

I want to create forecasting for a large quantity of time series. Since they are too many, I am thinking on reducing my data by clustering it into to similar groups. However, I am using SPSS modeler ...
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1answer
3k views

Predict sales levels with decision trees

I need to build a model using climate variables (temperature, rainfall) to predict monthly sales (horizon of 6 months) for certain product. The data has strong seasonality and a standard regression ...
1
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1answer
825 views

Do you think smoothing constant value, alpha, in SES method is a control parameter or process parameter?

There is a debate in selecting the smoothign constant in Single Exponentioan Smoothing method by practitioner or considering it as a process parameter? Could you please provide your opinion regarding ...
0
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1answer
157 views

What is the distribution that can properly describe the PE fluctuation of a stock

I have observed the historical PE (price / profit) value of a stock and realized that it roughly follows a log normal distribution. However, even when the next earning data point is easily predictable,...
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2answers
4k views

Time series forecasting lookback windows — sliding or growing?

Are there any good reasons to prefer a sliding model training window to a growing window in online time series forecasting (or vice versa)? I'm particularly referring to financial time series. I ...
2
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1answer
2k views

Conditional model using function tslm in R package forecast

I would like to use tslm with data that has intraday seasonality and a different pattern on business days and on non-business days. If data.ts is my time series then I would like to use something like ...
-2
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1answer
151 views

forecasting: problem with accuracy [closed]

A few weeks back I used the following command: accuracy(train,test) where train and test are training and test data respectively. Last night I updated R and the forecast package and used the same ...
2
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3answers
2k views

How to perform a basic forecasting model from pooled cross-sectional timeseries data in SPSS?

For 86 companies and for 103 days, I have collected (i) tweets (variable hbVol0) about each company and (ii) pageviews for the corporate wikipedia page (...
10
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1answer
4k views

Interpreting seasonality with ACF and PACF

I have a dataset where empirical intuition say I should expect a weekly seasonality (i.e., the behavior in saturday and sunday is different from the rest of the week). Should this premise be true, ...
0
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1answer
161 views

Generate correlated IMA(1,1) using R

I'd like to use R to generate two correlated series that follow IMA(1,1) process. rho is a correlation between the error terms, but when I changed the rho the plot does not change. Is it wrong if I ...
1
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1answer
813 views

Gap in plot between forecasted and real data

I'm trying to plot forecast and real data on the same plot. But there is always gap between them on the image : I use for the forecasting following code: y=boardings[,1] ## Simple Exponential ...
6
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2answers
2k views

Daylight saving time in time series modelling (e.g. load data)

I would like to model intraday electricity load data. I have quarter-hourly data for each day of the year. In many countries daylight saving time is practive. This has the consequence that once a ...
1
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1answer
1k views

Forecast with STL and regressors (using R package forecast)

I would like to use the stlf forecast function from the R package forecast (http://cran.r-project.org/web/packages/forecast/index.html) and include regressors in the model. Question 1: This can only ...
3
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0answers
131 views

Prediction model problem

I am trying to design a model that can estimate the number of customers I will receive in every store every month using the number of customers I received every month in every store for the last five ...
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2answers
2k views

Top-Down or Bottom-Up Approach for demand forecasting

I have 5000 SKUs which all of them are highly positive autocorrelated, to get the item level forecast for all5000 SKUs (disaggregate forecast) which approach can provide more accurate forecasts, BU ...
1
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1answer
576 views

use Exponential smoothing to forecast lead-time demand

I'd like to use Simple Exponential smoothing to forecast the lead-time demand for inventory control, I have monthly data and LT+1 is equal to 5 months, can I do a forecast using SES which gives me a ...
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1answer
1k views

Values of $\alpha$, $\beta$ and $\gamma$ in ets in forecast package

I am using the forecast package in R. I wanted to know how the ets() function finds the value of $\alpha$, $\beta$ and $\gamma$? ...
3
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0answers
114 views

Long-term predictions [closed]

My question might sound a bit vague and probably too broad. It is because I do not expect straight answer. I'm starting a part of my PhD were I need to analyse a long-term prediction of reliability. ...
1
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1answer
5k views

ARCH, GARCH Forecasting in R

I tried to fit auto.arima() with a ts data. But it is not giving the right forecast. For many it is coming as ...
1
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1answer
283 views

Getting started with projection analysis

For one of my grad school classes I am working on a projection analysis. The data includes projected year-end balances. These balances are projected every month of the fiscal year (starting in July ...
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3answers
2k views

How do I compute sales forecasts?

What's the statistical strategy to compute 2 month's ahead sales forecasts? I'm trying to build a chart for some software I'm creating. Piecemealing this together with a lot of thought, it appears ...
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1answer
1k views

Using rolling windows to compute out of sample accuracy

I’ve already written this question, but probably I didn’t specified it well, for this reason I write it again. I need to use a random walk model (no-change) yt = yt(1+t) to compute the ratio of RMSFE. ...
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2answers
823 views

How to select input values for neural networks?

I'm new to forecasting using neural networks. I have decided to use feedforward backpropagation algorithm. What are the input values if I have past data and what is the technique to select input ...
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1answer
482 views

Extrapolate forecasts to present data

The question title doesn't help, but i'll try to explain it: I have historical data (weekly points) from 2001/01/01 to yesterday and my variable has a strong seasonal pattern of 12 months (weather ...
3
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2answers
3k views

Predicting time series with NNs: should the data set be shuffled?

Suppose I'm trying to predict time series with a neural network. The data set is created from a single column of temporal data, where the inputs of each pattern are ...
3
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1answer
486 views

Tips for rejected Ljung-Box stats? Can Minitab model ARIMAX?

Two questions: What are some basic tips on going back to the drawing-board after a seasonal ARIMA fit shows significant coefficients (1,0,0)x(0,1,0) but fails in its Ljung-Box stats? Can minitab ...
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0answers
397 views

Recommendations on methods to predict sales data

I'm very inexperienced in statistical analysis. I think my question is fairly basic so I hope I can get some good pointers so I will be able to learn more efficiently. I have extensive hourly sales ...
3
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1answer
109 views

Correcting biased polling

Let's say I'm polling for a binary election in different states with known biases. Furthermore, let's say I only manage to poll only a small sample of people in each of these states. How would you ...
3
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1answer
6k views

How to perform RMSE analysis in SPSS?

My thesis coach wants me to perform a predictive analysis based on OLS. What I understand is the following: divide the dataset into a training set and a holdout set, for instance 50-50 perform OLS on ...
0
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0answers
412 views

Help choosing the optimal time series analysis package

I am developing an app for time series analysis that should support the following: Exponential Smoothing (Holt-Winters) Box-Jenkins curve fitting (straight line, quadratic, exponential, growth) ...
5
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2answers
2k views

Time series Modelling - Forecasting for weekly incidents

I am new to R. I am trying to apply forecasting model Time Series (TS) Model as follows: Plotting original data, Simple Moving Average, Auto correction(AC), Partial AC, Differencing of TS etc to ...
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4answers
2k views

How to handle online time series forecast?

I have been dealing with the following problem. I have kind of a real time system and every time frame I read its current value, creating a time series (such as 1, 12, 2, 3, 5, 9, 1, ...). I'd like to ...
3
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1answer
3k views

How do I estimate and interpret a forecast made by Minitab?

From 43 years of monthly stream flow data, I want to get 11 years ARIMA future forecast using Minitab 15 statistical Software. The difficulty is the procedure to be followed, interpretation of model ...
7
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1answer
445 views

Simulation of forecasted values in ARIMA (0,1,1)

I have fitted an ARIMA (0,1,1) model with a drift term using the “forecast” package. I want to perform a simulation study to obtain the mean of the forecasted values and the 95% forecasting intervals ...
3
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2answers
1k views

Residual analysis of cross-sectional time-series forecasts

I have forecasts and actuals for panel data (i.e. time-series cross-sectional data). The forecasts are already generated and provided by some source outside of R. I'd like to evaluate the quality of ...
3
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2answers
1k views

Forecasting Interventions (pulse) with ARIMA Model

Q1: Is there any Arima (p,d,q) model that can forecast interventions (pulse) itself? I know that I can use xreg or even xtransf ...
4
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1answer
842 views

Compare modeled (fitted) paired data to actual data in forecasting problem (Excel sheet included)

In my endeavor to learn forecasting and improve my statistical knowledge, I've decided to forecast the population of a certain area. I've attached the excel file that I used. I know I'm using excel ...
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1answer
3k views

R obtaining a VAR forecast when some variable outcomes are already known [closed]

I have four variables and would like to construct a VAR model I would then like to make a VAR forecast on one of the variables using my own data for the forecasts of the other three variables. Is ...
4
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1answer
1k views

Resources about forecasting stock returns with SVR

I'm currently working on SVR to predict stock market returns and I would like to know if anyone of you could give me some advise regarding interesting papers on it. These are the articles I'm ...
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0answers
96 views

Constructing a model from multiple non-independent and unreliable predictors?

I have an interesting modelling problem in which I am trying to forecast the occurrence of a type of weather event using an empirical model driven by measurements of a number of different physical ...
4
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1answer
2k views

How to calculate the prediction interval from two independent forecasts of time series?

Lets say I have two time series a and b and I predict the next value and a prediction interval (say lower and upper 80%) of each of these two. I end up with something like that: a: [10, 20, 30] and b: ...
4
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2answers
366 views

Standard errors for estimates of smoothing parameters

My question is based on the "forecast" package for R used in Forecasting with Exponential Smoothing. The State Space Approach - Hyndman et al. 2008. I am using the ...