# 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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### Looking for advice regarding model selection for forecasting (dynamic?) panel data

I'm looking for some advice on selecting an appropriate forecasting model for panel data. I'm just starting out in the field and would appreciate any hints or rules of thumb to help make such ...
901 views

### How to make a combination (aggregation) of quantile forecast?

Framework. Fix $\alpha\in ]0,1[$. Imagine you have $n$ $\alpha$-quantile forecast methodologies that give you, at time $t$ for look ahead time $t+h$, an estimation of the quantile of wind power. ...
5k views

### ARIMA and external regressors in SAS and R

So I remember reading somewhere that when we have external regressors, auto.arima cannot make correct predictions for the order of difference for either ...
8k views

### 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 ...
2k views

### how to help the tree-based model extrapolate? [duplicate]

The following example borrow from forecastxgb author's blog, the tree-based model can't extrapolate in it's nature, but there are definitely some method to combine the benefit of tree model (...
9k views

### Forecasting Time Series: Stationary vs Non-Stationary

Let's say that I have a non-stationary time series and that the series can be transformed to a stationary series using a first difference. If I want to forecast this series using ARIMA then what is ...
908 views

### How can I be confident about my forecasts and improve my methodologies?

Background I usually do a fair amount of forecasting using ARIMA, linear or multivariate regressions, polynomial trends, etc. A lot of this forecasting is for simplistic use and not really basis for ...
10k views

### Shall I use weekly or monthly data for forecast?

I seem not to find this in any textbooks. So I post these questions. Is monthly data better than weekly data for forecasting? Can there be seasonality in weekly data? Most software/methods don't ...
26k views

### What's the minimum sample size required to do a time series analysis?

I'd like to know the minimum number of monthly data points required to do time series analysis with the seasonality effect in forecasting. I read some articles & they were saying that 50 or 60 ...
933 views

### What do I do when values of AIC are low and approximately equal?

Chris Chatfield, whose many quality books and papers I enjoyed reading, in (1) gives the following advice: For example, the choice between ARIMA time-series models with low and approximately ...
419 views

### How should I approach this binary prediction problem?

I've got a dataset with the following format. There's a binary outcome cancer/no cancer. Every doctor in the dataset has seen every patient and given an independent judgment on whether the patient ...
9k views

### auto.arima does not recognize seasonal pattern

I have a daily weather data set, which has, unsurprisingly, very strong seasonal effect. I adapted an ARIMA model to this data set using the function auto.arima from forecast package. To my surprise ...
2k views

### Multilinear regression vs. Time Series

I have sale data for 3 years by week.I need to predict sales for the next year by week. The business requested that some categorical values and numeric values (so for example category, product ...
7k views

### Avoid negative results in Holt Winters forecasting

I understood that Holt Winters forecasting may results in negative values due to trending. I did reduce trending component value, but still forecast values are negative territory. Our data set will ...
448 views

### Does a density forecast add value beyond a point forecast when the loss function is given?

Density forecasts are more universal than point forecasts; they provide information on the whole predicted distribution of a random variable rather than on a concrete function thereof (such as ...
2k views

### Forecast accuracy metric that involves prediction intervals

I'm in the process of generating a time series forecast for a company's product revenue and am looking for some way to show accuracy over time - e.g. after say 6 months they want to see how the actual ...
3k views

### Length of Time-Series for Forecasting Modeling

I'm working with mixed model for forecasting analysis. One of the decision that we want to take for the modeling is length of time-series, whether it should be 2 years or three years. So my question ...
2k views

### Forecasting daily time series sales revenue with many zero entries

I have been trying to forecast the sales revenue of different product groups (the displayed sales revenue is aggregated over all products for each day e.g. smartphones with different prices as one ...