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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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### Two sample t-test vs regression

I would like to examine the difference in forecast error between year 1 and 2. The descriptive statistics show that the mean of forecast error is higher in Year 2 but the median is lower. Under what ...
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### Flat ETS forecast of clearly increasing time series

I have a simple time series of one hour intervals: ...
1k views

### Jack-knife with time series models

Introduction I am aiming to forecast the annual growth rates for a number of macroeconomic indicators (denote one by $Y_t$). One of the tasks is to test the forecasting performance of rival time ...
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### Regression with ARIMA(0,0,0) errors different from linear regression

A Regression with ARIMA errors is given by the following formula (saw on Hyndman et al, 1998): $Y_t = b_0 + b_1 X_{1,t} + \dots + b_k X_{k,t} + N_t$ where $N_t$ is modeled as an ARIMA process. If ...
285 views

### Discrete scenarios from an ARMA forecast

Given an ARMA model and a historical time series, I'm trying to create a set of $n$ forecast scenarios, where each scenario $s$ is a potential future hourly time series $x_s[t]$, with a given ...
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### Linear regression forecast underestimation

I have the following multiple linear regression model: ...
579 views

### Disease forecasting - counts or rates?

I'm developing a forecasting model for an infectious disease for a hospital and wanting to understand if I should use disease counts or rates (based on population or total clinic visits). What are the ...
558 views

### Where did this risk exposure 'estimation-formula' come from?

I was reading a book and the authors metioned that risk exposure can be estimated scientifically using this forumula: $risk(\$) = \frac{(a + 4m + b)}{6}$and standard deviation$\sigma = \frac{b-a}{...
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### Estimate in presence of missing observations

I'm trying to estimate a parameter based on its past history. However, I do not have the observed data at every point of time. To illustrate the scenario, consider a group of N people where each ...
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### Subset models in auto.arima function in forecast package

I wanted to ask whether it was possible to use the auto.arima function to identify subset ARIMA models rather than those of pure lags? I have identified a model in Stata in subset lags that performs ...
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### Cyclostationary time series

http://en.wikipedia.org/wiki/Cyclostationary_process What are the methods in modelling and forecasting such time series? It is mentioned in the link above that there is a deterministic approach to ...
3k views

### Combining two time-series by averaging the data points

I would like to combine the forecasted and backcasted (viz. the predicted past values) of a time-series data set into one time-series by minimizing the Mean Squared Prediction Error. Say I have time ...
593 views

### Forecasting a “chaotic” time series

Here are four graphs, 1, autocorrelation, autocovariance, partial-correlation and cross-correlation calculated from a time series are given. 2, The time series I need to do some predictions on ...
437 views

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### How to accurately quantify forecast uncertainty in a special case of robust linear regression?

If I'm using OLS linear regression, and I want to know the uncertainty of my forecasts I can quantify it using residuals (MSE, median absolute deviation, etc). But if I'm using robust linear ...
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### Constructing a naive recession forecast

I am testing a variety of models to produce 1-month ahead predictions of US Recessions. To benchmark these models, I want to build a naive recession model. My first thought was to use the current ...
896 views

### How to predict future reservations when data for the current day is incomplete?

I'm trying to build a model to predict reservations up to 15 days in advance. So, if I want to predict how many reservations there will be tomorrow, I use historical data of how many total ...
420 views

### The most suitable ARMA software [closed]

what is the most appropriate software for building an ARMA forecasting model? EViews, Minitab,...? Best, Milos
3k views

### Prediction with GLS

Let's say I build a Generalized Least Squares model. I follow the standard procedure and first estimate a LM model. Then I create an error-response covariance matrix based on the residuals of this ...
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### Can data cleaning worsen the results of statistical analysis?

An increase in the number of cases and deaths occurs during epidemics (sudden increase in numbers) due to a virus circulation (like West Nile Virus in USA in 2002) or decreasing resistance of people ...
142 views

### Proving significantly better performance in binary forecasting

I have two different algorithms that make forecasts for binary events. The observed result can either be 1 or 0 (like "rain" or "no rain"). The algorithms usually give a forecast in the 0.4-0.6 range. ...
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### Forecasting stock prices time series based on independent factors using ARIMA model

I am trying to forecast time series of stock for a particular case in which closing value of the stock depends on independent factors which is in which infact another time series. Situation is like I ...
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### What can you do with 'crazy' data?

This question is more about an approach to a complicated data situation rather than particular statistical methods. I'm modeling our organization's electricity bills, and I have monthly billing data ...
252 views

### Coefficient / model averaging to control for exogenous circumstances in prediction

I'm interested in exploring statistical models (or modifications thereof) designed to handle a specific type of problem. Due to my ignorance of statistical terminology, I can only describe this type ...