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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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1answer
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 ...
3
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2answers
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: ...
4
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2answers
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 ...
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6answers
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?
3
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1answer
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 ...
7
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1answer
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: ...
7
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1answer
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 ...
-3
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1answer
420 views

The most suitable ARMA software [closed]

what is the most appropriate software for building an ARMA forecasting model? EViews, Minitab,...? Best, Milos
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1answer
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?
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2answers
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 ...
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2answers
3k views

C# ARMA library [closed]

Do you know any C# library or source code that can be used for ARMA / ARIMA forecasting?
12
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4answers
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 ...
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2answers
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 ...
4
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2answers
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 ...
4
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3answers
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 ...
1
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1answer
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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2answers
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 ...
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3answers
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 ...
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2answers
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 ...
21
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1answer
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 ...
4
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4answers
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 (...
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2answers
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 ...
2
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1answer
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 (...
4
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1answer
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 ...
7
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3answers
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 $x$. ...
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2answers
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 ...
14
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1answer
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 ...
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2answers
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 ...
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2answers
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 ...
2
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1answer
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 ...
3
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2answers
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 ...
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2answers
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 ...
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2answers
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 ...
3
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0answers
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 ...
4
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2answers
5k views

How to obtain confidence limits of predicted values in ARIMA?

How can one obtain confidence limits of predicted values in ARIMA?
4
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2answers
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 ...
8
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2answers
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 ...
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4answers
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 ...
84
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1answer
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. ...
3
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2answers
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 ...
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2answers
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 ...
0
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1answer
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 ...
16
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2answers
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 ...
7
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1answer
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. ...
2
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1answer
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. ...
7
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3answers
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 ...
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5answers
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 ...
4
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1answer
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 ...
3
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0answers
66 views

Updating a set of estimated forecasts

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,...
3
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1answer
416 views

Confidence Intervals for Holdout R^2?

Let's say I'm performing regularized regression and I want to validate the results using holdout. (I'm choosing holdout instead of cross-validation because my dataset is fairly large, so ...