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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Can I use this equation for prediction?

I've got a question. Below you see a graph which shows the regression equation between construction activities in the private sector (X axis) in £bn and the total amount of all construction activities ...
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198 views

Adding predictor variables and/ or systematic judgement to time series forecasts

I have a ways to go with my forecasting general education --- but I'm doing a seasonal time-series forecast for predicting sales order volumes. It's mostly software sales, which does have a ...
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165 views

What is the source of nonstationarity in this VAR model?

I am trying to forecast a VAR model, which consists out of 5 variables with a monthly frequency. The problem is that the VAR model produces an unstable forecast and I am not sure what the source of ...
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41 views

Have a data set for 3 consecutive days. What are my options?

Let's say I have a set regarding the transportation methods(Eg: car, bus, train) used for three consecutive days b y $n$ number of people. For simplicity let us assume that everyone use only one type ...
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93 views

Very different Neural Network test errors for same architecture

So I'm doing a time series prediction, and assessing the capability of the ANN to predict that time series. I am using Matlab's neural network toolbox functions, and the training parameters are the ...
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251 views

forecasting for data excluding holiday dummies

I used tbats to fit a model to a set of 3 years of historic data for daily number of shipments moved by a trucking company. my data included double seasonality so I used tbats. However, tbats did not ...
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1k views

Different fitting models using auto arima and tbats

I have one year of daily data for forecasting. while using auto.arima to find the best fit model, it gives me ARIMA(3,1,3). However, when I used tbats to find the best fit model, it gave me the ...
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225 views

Double Seasonal Holt winter method using dshw

I have a two weeks data set which have intraday and intraweek cycles so I decided to use dshw in r. Although it gave me a pretty good MAE and RMSE, when I wanted to see SSE, it showed me a null value. ...
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257 views

Statistical demand forecasting

How is batch demand forecasting done in retail like in Walmart where number of products to forecast are very large in number and products are short lived i.e have less than 36 months of historical ...
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278 views

package in R for BMA of a logistic model?

I am trying to perform analysis similar to Gerlach et al. (2002). it involves predicting the posterior probability of a particular binary outcome using the previous 5 observations. I was just ...
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48 views

Forecasting ar(p) for several counties

I have a data set of prices, these prices vary across time and across area. I have 18 areas with 32 time periods. What i want to do is forecast these prices, i have found that a AR(3) process fits ...
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883 views

Obtaining the Psi Weights of a seasonal ARIMA in R

I am trying to quantify the effect of a future random shocks on my seasonal ARIMA model. If I have understood the theory correctly, the easiest way is to express my seasonal ARIMA model in its "random ...
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495 views

Forecasting time series with missing data and irregular intervals

I have a data set of medical drug stock levels at health centres and I want to forecast monthly consumption over the following 3-6 months. However about 30%-40% of the data is missing and some of the ...
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178 views

linearity of a time series

I am currently trying to correct forecast data using Kalman filter (python). I do not know where to start. I wanted to know how can I do a test to Know if my time series is linear or non linear? Is ...
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38 views

Discovering Values with Forecast

So, I have numbers that I know are going to be between 1.01 and 1000. Each value corresponds to 1 second. Is this is a time-series? I've been searching all over, but I can't figure out if these ...
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579 views

kalman filter: difference between simulation and forecasting

I know the question can sound trivial, but I can't get the difference between simulation and forecasting. If I've understood well, a forecast of $k$ periods ahead, starting from period $T$, is ...
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460 views

What is the difference between forecasting based on ARIMA and logistic curve? R

I'm making a project connected with identifying the dynamics of sales. My database concerns 26 weeks (so equally in 26 time-series observations) after launching the product. This is what my database ...
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196 views

over estimating ARIMA model

When an ARIMA model over estimates, i.e if the forecast from the model is always higher than the actual value, what's the cause? The model i used was SARIMA (1,1,0)x(1,0,0). Below is the time series ...
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656 views

fpp forecasting using AWS ubuntu

Is the package fpp (or any of its previous incarnations like forecast) supported in Ubuntu 12.04 using AWS? It is the only package that R downloads but when you load the library it throws an error. ...
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134 views

Is there a formula to find the MAPE for $Y_t$ if we know the MAPE for $\Delta$log($Y_t)$?

Is there a simple formula to find the MAPE for $Y_t$ if we know the MAPE for $\Delta$log($Y_t)$ ~ iid N($\mu$,$\sigma^2$)? Is there an algebraic relation between the two? What if I use RMSFE instead?...
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746 views

Forecasting when the dependent and independent variables are differenced

Consider the following model for $Y_t$: $\Delta$log($Y_t)$ = $\beta_0$ + $\beta_1$$\Delta$$log(X_t)$ + $u_t$ where $u_t$ ~ IID Normal(0,$\sigma^2$). I want a forecast for $Y_{T+1}$. Thus, I need a ...
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873 views

Predicting ecommerce variables based on visitation data - R or Python

I have 1.5 years worth of e-commerce data (orders and revenue) for 2 countries (US and UK) with daily metrics for visits, unique visitors, and page views. I would like to model these transactions and ...
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833 views

Plot forecasts through vecm by using calendar years

I'm using the library vars in R to plot fanchart and predictions through the vector of error correction model. I have used this ...
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144 views

How to fit a multiple regression model that takes into account 50 days of each individual's history

I am using simple linear regression to predict the number of days of school a single student might miss after 250 days using their cumulative daily attendance data over the first 50 days of the ...
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878 views

Implementing an ETS and ARIMA forecast

I've been using the R Forecast package which I have used to create fitted ETS and Arima models. I can easily predict ahead within R using the Forecast package but need to be able to do prediction ...
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218 views

Bayesian Forecast with Minimal data

The following very simple forecast has been very helpful to me in applying basic methods.. and I have read that Bayesian methods may be superior for small data forecasting but I have not seen any ...
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414 views

Help choosing the optimal time series analysis package

I am developing an app for time series analysis that should support the following: Exponential Smoothing (Holt-Winters) Box-Jenkins curve fitting (straight line, quadratic, exponential, growth) ...
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77 views

Calculate chance of big drop in a timeline

I am not much of a mathematics person, but I have been asked to create a program that will calculate a chance for a big drop on a timeline. I'm pretty sure even the way I try to explain it is not ...
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1answer
262 views

K in Fourier series - How to find value of K to use it in ARIMA?

I am using the forecast library for doing some time series forecasting. I need to forecast number of sold items. I am planning to add holidays as xreg in auto.arima. The holiday will be a 0/1 list, ...
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1answer
184 views

Ljung-Box test on a out of sample residue with good forecast

To test the fbprophet library, I created a very simple synthetic series and generated a model like this: ...
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1answer
1k views

ARIMA long-term forecast

I have monthly sales data for about 7 years and i need to forecast sales figures for the next 10-15 years (yearly basis, not monthly). Also i need to use ARIMA for this. How to approach this task ...
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1answer
276 views

How to perform Timeseries Forecasting and Modelling For subsets?

Hi I have a problem with my project. I have 1000 data and I used it as training data to forecast with Timeseries. But my data have some subsets and it's impossible to timeseries forecasting and ...
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1answer
272 views

How to align two seasonal time series

I am trying to decompose a time series using Holt Winters method and use it for forecast. I am trying to do this for weekly data of last 25-26 months. The challenge is that the dates of the seasonal ...
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1answer
114 views

Is time series analysis suitable for my dataset?

I am monitoring user behavior, while the user interacts with a form on a website. That form has multiple textfields from top to bottom and at the bottom it has two buttons: "cancel" and "save". My ...
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1answer
621 views

How to use svm for a large dataset to predict

I am using svm method for prediction of wind power using windspeed. I have a large historical dataset containing timestamp, wind speed and wind power of size 6.74MB. it is a one year data at each 5 ...
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2answers
589 views

Auto.arima is not fitting the data well

I have two variables speed and vibration and you can see that speed causes vibration. I am trying to fit this using auto.arima. But when i plot the fitted model, it gives bad result ...
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1answer
134 views

Binary prediction with time serial and dummys

I have this data set. I have 4 individuos, Y binary dependent variable. I want calculate (prediction) the probability of sale of the car d (?%), in the years 2001, 2002, 2003. The variables ...
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1answer
843 views

Holt-Winters optimal parameters with gradient descent

Can we use gradient descent in order to find optimal alpha, beta and gamma for Holt-Winters model? And more generally, are there any academic works that suggest methods for finding optimal values for ...
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1answer
2k views

Which are the basic steps of the stock price forecasting using ARIMA model in R?

I am very new to this field and I want to learn forecasting of stock price using R. Please let me know which are the step should I follow? If someone know tutorial links for forecasting in R then it ...

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