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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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540 views

### How to set the seasonality length to 7 using the ets function in R?

I am new to R and am hoping to use ets from the forecast package to forecast daily data which has a weekly pattern. Is there ...
2k views

### Proper ways to perform time series and ARIMA

Note that I do most of my analysis using R and Excel. Let's take this data set for example. I modified it as the data itself is proprietary: the years are also different: ...
527 views

### Is the Kalman filter actually forecasting?

The state space equation is: $$Y_t = F_tθ_t + v_t\hspace{4em} \textrm{eq. 1}$$ $$θ_t = G_tθ_{t-1} + w_t\hspace{2.8em} \textrm{eq. 2}$$ $F_t$ in eq.1 are the independent variables and we can predict ...
16k views

### What is the best software for time series analysis and forecasting?

Is MATLAB better than R for time series analysis and forecasting or vice versa? What other software is considered best for time series analysis?
845 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 ...
341 views

### Predicting total number of bugs based on number of bugs revealed by each tester

Assuming n testers were independently testing the same application for a given period. Each tester found a given set of bugs (Some of the bugs were detected by more than one tester). For example: ...
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
792 views

### Example use of ARMA forecasting method

I have no experience in forecasting, so can anyone give me a step-by-step example or link to example-real values with ARMA forecasting method application?
1k views

### 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 ...
3k views

### C# ARMA library [closed]

Do you know any C# library or source code that can be used for ARMA / ARIMA forecasting?
5k views

### Forecasting binary time series

I have a binary time series with 1 when the car is not moving, and 0 when the car is moving. I want to make a forecast for a time horizon up to 36 hours ahead and for each hour. My first approach ...
349 views

### 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 ...
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 ...
2k views

### Forecasting time series based on a behavior of other one

Apologies for this vague and unclear question, I have no background in statistics. I have two vectors of time series data, covering a six month period. The data is in daily intervals (except for ...
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. ...
206 views

### 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 ...
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 ...
1k views

### Determining the reliability of weather forecast

How well do weather forecasts predict the future weather? For example, I would like to know how likely it is to be raining when forecasts predict 70% raining risk 3 days ahead of time. I know ...
88k views

### How can I predict values from new inputs of a linear model in R?

I've created a linear model in R: mod = lm(train_y ~ train_x). I want to pass it a list of X's and get its predicted/estimateed/forecasted Y. I looked at ...
3k views

### Using information on both sides of a 'gap' in time series data for imputation

As with my previous question, I'm looking at ways to impute missing data in a hierarchical time series data. With al my other procedures, including the experimentation of imputation packages (...
5k views

### What methods to use for statistical prediction/forecast of trading data?

I’m working on a trading system and need to apply some statistics on the results. Unfortunately I forgot all about statistics after I left university over a decade ago and now I really have no clue ...
230 views

### Deriving risk estimates using forecasting confidence limits and out of sample hold-out cases

I was hoping for some advice. I use SAS for automatic forecasting (I have a large number of forecasts to complete in a limited timeframe). As part of the forecast output from SAS, I get a mid-point (...
309 views

### How do I create a predictor for a time series once I've confirmed Granger-causality?

I have a set of time series data that I've found granger-causality (i.e. regressed Y vs. X, X-1, Y-1), and am wondering how I can create a predictor from this linear model? Is it simply the ...
2k views

### Machine learning techniques for time series estimation - forecasting price

Can anyone recommend any machine learning techniques for time series estimation? I have a series of times $t_{1}...t_{n}$, each having a set of associated features $f_{1}...f_{m}$, and a value $x$. ...
2k views

### Time series data distribution forecast?

While having chronically data of population growth (registered users of a site), I want to compute a function that approximates future growth, based on past data. Also, what we ll be the distribution ...
8k views

### How to calculate forecast error (confidence intervals) for ongoing periods?

I often need to forecast for future periods in monthly series of data. Formulas are available to calculate the confidence interval at alpha for the next period in the time series, but this never ...
3k views

### 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 ...
2k views

### Problem using auto.arima() in R

I am using auto.arima() for forecasting. When I am using any in built data such as "AirPassengers" it is capturing seasonality. But, If I am entering data in any ...
176 views

### Statistical models and methods to evaluate and forecast “fine price” increases

I want to evaluate the implications of increasing fine prices. I will have a few different scenarios ranging from business as usual, minor increase, proportional increase, categorical increase, to ...
522 views

### Should we compare the individual monthly forecasts with actual values?

Hi I am using Linear and exponential forecasting models to do sales forecasting. In the model itself, we use the forecasts of period t to get next forecast and so on. While analyzing the accuracy of ...
4k views

### Can the forecasts using exponential smoothing be negative in value?

Hello I am trying to forecast using different exponential smoothing methods(Linear and Winter's). For the optimal parameters, I am getting negative values of the forecasats. I am assuming it means ...
2k views

### Problem with ets from R forecast package

I'm using the ets forecast function in R. When I fit a model to some timeseries t1: model<-ets(t1) [36 periods] and ...
162 views

### Modeling relative contribution of a variable

I am overthinking this for sure, but I am stumped. I have a historical data set of projects with hours of contribution by various positions. There are six types of projects. How can I model the ...
5k views

### How to obtain confidence limits of predicted values in ARIMA?

How can one obtain confidence limits of predicted values in ARIMA?
2k views

### Forecasting Amazon or Netflix demand

Suppose I want to predict Amazon or Netflix demand, using demand data over the past year. For example, I might want to forecast the number of sales in the Electronics category on Amazon, or the number ...
12k views

### Using Holt-Winters for forecasting in Python

[I first posted this question to Stack Overflow here but didn't get any replies, so I thought I'd try over here. Apologies if reposting isn't allowed.] I've been trying to use this implementation of ...
4k views

### Predicting forecasts for next 12 months using Box-Jenkins

I am building a Box-Jenkins model in Excel using solver. The model is AR(2). The data that I have contains trend and seasonality both. I know how to remove seasonality using seasonal indexes and add ...
85k views

### How to apply Neural Network to time series forecasting?

I'm new to machine learning, and I have been trying to figure out how to apply neural network to time series forecasting. I have found resource related to my query, but I seem to still be a bit lost. ...
406 views

### Predicting a future data value with regression

If I have a list of values throughout time, say a list of values for every minute throughout an hour of monitoring something, can I somehow 'predict' or estimate what the value would probably be in ...
812 views

### Beginner to prediction/statistics: Where do I start?

I sincerely apologize if there is another thread already that will answer this question. I'm so incredibly out of my league here that I don't even know what keywords to search for :-). I'm a computer ...
416 views

### Lagged Variables in R

I am trying to use R to develop a corporate financial model. The model includes various line items, X, of the following form with actual values for time period 1, 2.. n and projected values for ...
8k views

### Getting started with neural networks for forecasting

I need some resources to get started on using neural networks for time series forecasting. I am wary of implementing some paper and then finding out that they have greatly over stated the potential of ...
4k views

### How to update ARIMA forecast in R? [closed]

I have a time series data of 30 years and found that ARIMA(0,1,1) has best model among others. I have used the simulate.Arima (forecast package) function to simulate the series into the future. ...
742 views

### Forecast R package producing flat predictions

I've just started playing with the R forecast package and found I must be doing something wrong because I can't get a decent prediction for a simple sinus. ...
11k views

### Forecasting beyond one season using Holt-Winters' exponential smoothing

I am using the Holt-Winters' exponential smoothing technique to forecast expenditure data 2 years into the furture. The monthly data has an increasing trend and annual seasonality. I'm using MS Excel ...
2k views

### 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 ...
121 views

### Updating/ adjusting theoretical growth curves when raw data becomes available

my stats question is as follows: The research group I work for have developed a theoretical growth model for a particular species of fish. The idea is that if you provide some initial starting values ...
Suppose I have some stochastic process $X_t$. At each time $t$, I receive an estimated probability distribution for $x_t$, followed by an observation $x_t$. After receiving a set of observations \${x_1,...