Questions tagged [forecasting]

Prediction of the future events. It is a special case of [prediction], in the context of [time-series].

948 questions with no upvoted or accepted answers
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53 views

Forecasting method used for predicting the date of some events

If i'm working in a car company and I have some data for every customer i.e. Their license plate Date of their car's service in the dealer Number of km in their car when they service it Their ...
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785 views

Repeated arima forecast returning warning and NA value

I have the code below which trains a model with some predictors, forecasts it one step, appends the forecasted value on the original training data and then tries to feed that back in and train and ...
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380 views

Difference between estimation and prediction in simple linear regression model?

Here is what my notes say about estimation and prediction: Estimating the conditional mean We need to estimate the conditional mean $\beta_0+\beta_1x_0$ at a value $x_0$, so we use $\hat{Y_0}=\hat{...
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245 views

Why is MASE scaled by the mean absolute error produced by a naive forecast calculated on the in-sample data

Wouldn't a better scaling factor be with the MAE produced by a naive forecast on the test data itself? When evaluating MASE for the training set, this essentially becomes a comparison for the ...
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480 views

Autocorrelation function and forecast in ARIMA model

Let $B$ the lag operator and $\{y_t\}$ the following model $$(1-0.6B^4)y_t=(1+0.2B)\epsilon_t$$ where $\epsilon_t\sim N(0,16)$. a) Is it a stationary process? b) Find the autocorrelation ...
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1answer
53 views

When will YTD hit a goal?

I'm estimating a deadline, when my time series will add up (total so far) to a certain large number. I'm doing so by getting a forecast line, plus or minus the RMS error of the known values. But if I ...
2
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1answer
75 views

How to determine or diagnose that time series data contain seasonality pattern for SARIMA in R by function

I want to ask about seasonal ARIMA (SARIMA) in R function how to determine that time series data has affected or influenced by seasonal pattern Thank you very much
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43 views

What model should I use for retirement forecasting?

I am a HR professional looking to self learn statistical modeling for new responsibilities at work. I need to forecast no. of employees who may retire next 10 years. What would be simple way to ...
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1answer
60 views

building and analyzing a regression model

I'm trying build a model to predict sells of clothe store for each cluster to month 11 and 12. I've 98 stores, and for each store i have this data, but i put the all data to calc only 1 model. I use ...
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130 views

How to compare the forecast accuracy of two models when the data has unbalanced panel structure?

I am comparing the earnings forecast accuracy of two models (model 1 and model 2). The data (firm-year level data) have an unbalanced panel structure since firms have varying lifetime and time to be ...
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278 views

Constructing a forecast from bayesian multivariable regression

I've been working my way through Kruschke's Doing Bayesian Data Analysis, and have been able to successfully run a Bayesian multivariable regression using R code provided with the book. Kruschke's ...
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121 views

Transforming time series data before change point analysis in R

I have count data (non-financial) from 2010-2014 by week. I am interested in using R and changepoint package to find any significant points of time when the trend changed. I have two questions about ...
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57 views

What is the maximum time series data required for ARIMA and ANN modelling?

I have a per hour data in 1 year for a total of 8,640 observations. These data will be used to model ARIMA and ANN to predict a day-ahead forecast. My question is, is these data enough? or too much?
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2answers
441 views

Can simple exponential forecasting be used for a non stationary series?

I have a non stationary series with trend and seasonal components. I want to use simple exponential smoothing ONLY for forecasting. Does the series need to converted to stationary before using SES? If ...
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58 views

Why is the propriety of a scoring rule irrelevant for deterministic forecasts?

By deterministic forecasts Jolliffe (2008) has in mind forecasts to which no representation of uncertainty is attached. Jolliffe (2008) p26 provides a standard explanation of proper scoring rules, ...
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145 views

Predictability of predictor variables in regression analysis

I have run a multiple linear regression analysis to predict the forecast of demand (in litres) of soft drinks. I have 104 sets of weekly data and my independent variables are feature space (measured ...
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121 views

Calculating prediction interval on differentiated VAR(2)

I want to calculate the $l$ step ahead prediction interval of an VAR(2) on three series. Theses series are differentiated once before estimation of the VAR(2) model. I use the functions of the ...
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295 views

Forecasting multivariate time series data stream

I have a multivariate time series data stream. I am looking for a method that can forecast the next value of one of the variables as the data comes in. (It would be a major advantage if there's an R ...
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439 views

Time series cross-validation, calculate RMSE for different forecasting horizions

Following Rob J. Hyndman suggestions on how to do cross validation for time series ( http://robjhyndman.com/hyndsight/tscvexample/ ), I modified his original code to evaluate how RMSE (not MAE) ...
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834 views

Dynamic regression linear models in R

I have a question regarding Dynamic regression linear models. I wonder if it is possible to implement a MLR model (in R) using 'lm' and creating lagged values of predictors and dependent variables. ...
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155 views

How to improve a bad long-term forecasting of time series in common case

I have two time series $d_t(t)$, $d_c(t)$, where I'm modelling charge as a function of time. Lengths of time series, $N$ are equal to $101$ data points. For the $d_t(t)$ (test sample, short-term) the ...
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280 views

How to detect a relatively small level shift(leakage) in an hourly water flux time series in an area?

Background I'm working on a project which aims to use the history data about a water flux to detect whether there is a leakage happened. The data is hourly collected and among about 4 months. I've ...
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1answer
78 views

Predict (un)employment variables - very small dataset

I'm new to econometrics (familiar with ML, Python, Data Visualization). I really have no clear idea what model should I use in order to predict (un)employment variables for 2015-2016 (potentially 2020,...
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1k views

ARMA-GARCH forecast evaluation: in-sample, out-of-sample, rolling

I need to compare the forecasting ability of different specifications of the ARMA-GARCH model. I would like to compare the model by valuating for each model in-sample forecast and out-of-sample ...
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62 views

Predicting Influence of Price on Sales with Limited Stock

I'm trying to develop a model that predicts the volume of sales (either incremental for each day, or total at the end of a period) that factors in price, but I'm having some trouble working around ...
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63 views

Determining forecast error of realtime prediction of binary outcomes

Given datasets consisting of a daily prediction and confidence percentage for each of a small number of binary outcomes, what is the proper way to calculate the forecast error of each series and of ...
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174 views

Variance on Extreme Seasonal Time Series

I'm trying to come up with a decent method for forecasting a unique seasonal time series that is involving multiple periods of seasonality: Weekly, Monthly, Quarterly and I am stuck because I have ...
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45 views

Forecasting an individual based on a representative group

I’m trying to forecast demand for an individual based on historical data of many individuals, but I’m having trouble finding examples of this. For example: I want to forecast the demand for a single ...
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887 views

Issue when building VAR model using Python

Building on my Question here which involved predicting the closing price of a stock given the previous days closing price, opening price, high price, low price and the number of articles associated ...
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817 views

tbats with weekly, monthly and yearly seasonality not working

I am trying to predict values based on a dataset which may contain weekly, monthly and yearly seasonal data. To simplify things I am assuming that all months have four weeks (28 days) and the year has ...
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270 views

How to create sklearn random forest model identical to R randomForest?

In R I usually define Random Forest as follows (an example): ...
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131 views

Prediction intervals for levels using a VAR model in second differences

Given a VAR model for the second differences of a vector time series, $\Delta^2 y$, how to obtain the one-step-ahead (and possibly $h$-step-ahead) prediction intervals for the series in levels, $y$? ...
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947 views

R: Calculating prediction intervals (95%, seasonal naive and holt winters)

Could somebody explain to me the theory behind how R calculates the 95% prediction intervals for my 12 step ahead forecasts in (1) a seasonal naive model and (2) a Holt-Winters forecast. My code is ...
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457 views

auto.arima and DLM give different values for loglikelihood

I want to estimate an ARIMA model on my timeseries, then represent it in state space format, mainly because it will be more responsive to change in pattern. I used ...
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3k views

Constant in arima model whether to include or exclude?

I have a very basic question on including constant in Arima models. I'll illustrate this by an example. I have the following ACF and PACF of a weekly time series that is differenced at lag 1 (trend) ...
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497 views

Online time series forecasting with DLM

I have estimated a univariate time series model, consisting of a random walk and an AR component. Now the goal is to make forecast about a couple of steps ahead as new data comes in, in an online ...
2
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1answer
119 views

Predicting water levels based on rainfall stats

I am curious if R or any other open source code can deal with forecasting changes in water elevation based on a predicted/forecasted value of rain. I have a ton of data that shows water elevations (...
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914 views

How to forecast (extrapolate) within a (B-)Spline setting

Suppose I observe a random variable $Y$ for a co-variable $p\in\{70,90,100,...,170\}$. My goal is create a forecast of $\mathbb{E}(Y)$ for $p\in\{50,70,...,350\}$, i.e., a wider range of $p$ as ...
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85 views

Simple ways to forecast US GDP

Forecasting US GDP sure is hard, even the Fed's FRB/US gets it wrong. I am an undergrad doing a US GDP forecasting project, and was wondering if there were simpler ways to do so and produce decent ...
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216 views

How to extrapolate future probability density functions if you have a time series of them as input?

I'm sorry for lack of technical vocabulary, I'm not a mathematician but an undergraduate student in business informatics. This is my current situation: I am given an observations vector $\textbf{X}$ ...
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328 views

Time Series using STS( Basic Structural Model)

I am using Basic Structs to forecast my time series. My forecast is exactly overlapping my data. I am sure no model can predict with 100% accuracy. I know I am missing something, can someone point me ...
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163 views

Prediction intervals for mixture models for time series forecasting - is it really an average of the prediction intervals of the averaged models?

I'm trying to find out how to do forecasting with a mixture model (averaging the forecasts of an ets, an arima and an ...
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120 views

How to evaluate a Bayesian forecast?

Suppose that I have a predictive posterior, which is an attempt to predict some one-step ahead forecasted value $\hat{y}_{T+1}$. How do I assess if my posterior has done a good job or not? If we had ...
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257 views

Can Intervention analysis be used to forecast time series

if I have an estimate of the intervention variable from a similarly interrupted time series can it be used to forecast another similar time series after the effect of intervention. For example lets ...
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4k views

Training/ Test Data with Time Series Model — Forecast with Training Model, or with Model based on Full Data?

Okay, I have a couple books on time series forecasting, but perhaps I need to read a couple more. Here's my question. You want to be able to validate a forecasting model. So you split the data into "...
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521 views

Forecast of spot electricity prices

I recently started a job in power trading. But due to a sudden change in employment I am required to work on econometric models to gauge the supply and demand side of national power markets. So ...
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4k views

auto.arima and Arima (forecast package)

I am facing a strange issue with the auto.arima() function. On a dataset named data, I run the following code ...
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0answers
265 views

Why only full ARIMA models in auto.arima?

It seems that the auto.arima function in the "forecast" package in R only considers full ARIMA models. By "full" I mean that if an AR lag $k$ is included, AR lag $j$...
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859 views

Panel data forecasting from Arellano-Bond GMM estimation

I want to come up with predictions of final energy demand per capita (fe) for a panel of countries. Explanatory variables are GDP per capita (gdp) and population density (pop) -- all variables are ...
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149 views

Ensemble model performs better with worse performing consitutent models?

I have a forecast model I am developing that uses some very unreliable input data, missing data (due to sensors or comms failures) is the rule, not an exception. The quantity being forecast is a daily ...