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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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 ...
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1answer
9k 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
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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 ...
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1answer
177 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 ...
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2answers
533 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 ...
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0answers
164 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 ...
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2answers
6k views

How to obtain confidence limits of predicted values in ARIMA?

How can one obtain confidence limits of predicted values in ARIMA?
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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 ...
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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
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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 ...
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1answer
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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. ...
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2answers
475 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
813 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 ...
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1answer
428 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 ...
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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 ...
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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. ...
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1answer
752 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. ...
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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 ...
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1answer
126 views

Updating/ adjusting theoretical growth curves when raw data becomes available

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 for the model you then generate ...
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0answers
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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,...
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1answer
432 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 ...
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1answer
4k views

How to produce Theil's U with package forecast 2.16 in R?

I do not know why package forecast 2.16 in R does not produce Theil's U? I really appreciate your efforts.
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3answers
23k views

How to use DLM with Kalman filtering for forecasting

Could someone walk me through an example on how to use DLM Kalman filtering in R on a time series. Say I have a these values (quarterly values with yearly seasonality); how would you use DLM to ...
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1answer
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. ...
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1answer
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Documented/reproducible examples of successful real-world applications of econometric methods?

This question might sound very broad, but here is what I am looking for. I know there are many excellent books about econometric methods, and many excellent expository articles about econometric ...
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2answers
462 views

Exploratory analysis of spatio-temporal forecast errors

The data: I have worked recently on analysing the stochastic properties of a spatio-temporal field of wind power production forecast errors. Formally, it can be said to be a process $$ \left (\epsilon^...
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2answers
381 views

Modeling vacancy rate

I have 100 geographical regions in a country. For each region the total number of houses and the number of vacant houses have been collected yearly over 20 years. I have also some other economic ...
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2answers
2k views

ROC plot for continuous data in R

I am currently estimating a bunch of ARMA models, and using them to predict subsets of my data. In order to evaluate their predictive accuracy I would like to make some ROC plots, however since all of ...
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4answers
47k views

When to log transform a time series before fitting an ARIMA model

I have previously used forecast pro to forecast univariate time series, but am switching my workflow over to R. The forecast package for R contains a lot of useful functions, but one thing it doesn't ...
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1answer
3k views

Combining auto.arima() and ets() from the forecast package

I've been using the ets() and auto.arima() functions from the forecast package to forecast a large number of univariate time series. I've been using the following function to choose between the 2 ...
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5answers
11k views

How to model prices?

I asked this question on the matemathics stackexchange site and was recommended to ask here. I'm working on a hobby project and would need some help with the following problem. A bit of context Let'...
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2answers
3k views

Time series cross section forecasting with R

I have a (I suspect) simple question. I have time series cross section data on voting behaviour in the Council of the European Union (the monthly number of yes, no and abstentions for each member ...
6
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1answer
140 views

Predicting a semi-deterministic process

Say I have a process that gives me 3 outputs: $O^1$, $O^2$ and $O^3$. The outputs are generated from a semi-deterministic process, i.e. there is a deterministic component in the outputs, along with a ...
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1answer
4k views

Starting out with forecast package in R

I am new to forecasting in R and am trying to automatically fit an ARIMA model to what I believe is a univariate dataset. ...
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1answer
2k views

Gaussian state space forecasting with regression effects

The R package dlm implements filtering and smoothing (dlmFilter and dlmSmooth) for models with regression effects, but ...
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2answers
224 views

How to predict Ozone concentration in few years time?

my friend is a chemist and his problem is to predict the level of ozone concentration in a single site. We have the data for the last 12 years. We want to predict the concentration for the coming ...
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3answers
1k views

How to make forecasts for a time series?

I am not that familiar with the analysis of time series data. However, I have what I think is a simple prediction task to address. I have about five years of data from a common generating process. ...
15
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3answers
574 views

Determining whether a website is active using daily visits

Context: I have a group of websites where I record the number of visits on a daily basis: ...
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2answers
1k views

Forecasting unemployment rate

I have a data set of 100 geographic regions for which the unemployment rate has been observed during the last 9 years. Now, I want to simulate/forecast from this data the next year unemployment rate ...
6
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1answer
254 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 ...
3
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1answer
207 views

Forecasting Age distribution

I would like to project the data in this graph for at least 4 or 5 periods. Unfortunately, that won't be possible with a moving average. A regression will result in negative values after the 3rd ...
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2answers
5k views

How to use Kernel Density Estimation for Prediction?

I would like to apply KDE to inventory replenishment, but I am not sure how to use the analysis to predict future sales based on past sales. Given a set of data and having applied KDE to it (probably ...
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1answer
354 views

Testing prediction time series against real data

Say I have a series of forecasts and observations like this: ...
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2answers
394 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 ...
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6answers
1k views

Is my weatherman accurate?

A question which bothered me for some time, which I don't know how to address: Every day, my weatherman gives a percentage chance of rain (let's assume its calculated to 9000 digits and he has never ...
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2answers
8k views

How to identify transfer functions in a time series regression forecasting model?

I am trying to build a time series regression forecasting model for an outcome variable, in dollar amount, in terms of other predictors/input variables and autocorrelated errors. This kind of model ...