Questions tagged [unobserved-components-model]
UCM decomposes an observed time series into unobserved trend, seasonal, cyclical, and idiosyncratic components and allows for exogenous variables
19
questions
0
votes
0
answers
12
views
What is the preferred procedure and associated methods when using an unobserved components model?
Let me start off by saying that my statistical knowledge is quite limited. If you spot any errors in my way of thinking, or have any good beginner references for me to read more about the topic I am ...
- 11
1
vote
0
answers
42
views
Is there some standard way to diagnose a structural time series model (also called simple unobserved components model)?
I am dealing with a structural time series model (also called a simple unobserved components model), and I wonder if there is some standard way to diagnose this sort of models. In most reference books ...
- 125
0
votes
1
answer
133
views
When will a non-lagged regression term, in a forecasting algorithm, outperform an algorithm that doesn't require the regression term?
I am struggling to understand when a regression variable that is non-lagged would be beneficial to a forecasting algorithm.
I have been investigating the unobserved component model algorithm.
I am ...
- 127
3
votes
0
answers
99
views
Parameter dimensionality reduction in a Kalman filter framework
My problem is related to parameter identification with maximum likelihood in a Kalman filter. This framework consists of a multivariate set-up, wherein the unobserved components of the initial ...
- 31
0
votes
1
answer
577
views
Exporting the UCM Model Prediction in CSV [closed]
My problem is extremely simple. But due to lack of proper documentation, I'm getting stuck.
I'm using UCM from statsmodel of python. I'm trying this example.
I want to create a dataset that has ...
- 6,416
1
vote
1
answer
153
views
How to convert/decompose SARMA model to Unobserved Component Model (UCM) to extract seasonal component?
Often in my work I need to remove seasonality from a time series to see underlying trends/cycles. Usually the seasonality is removed using UCM, estimated by some method. However, we often also fit ...
- 2,611
0
votes
0
answers
151
views
Is Box-Jenkins approach to time-series prediction and forecasting similar to Unobserved Components models approach?
How I understand the Box-Jenkins Method in a nut-shell is that a time-series model has signals that can be identified by weighting its own past lagged values, or weighting its owned past errors or ...
- 1
1
vote
0
answers
132
views
After making an adjustment to the forecast, should I also adjust the prediction interval (& how)?
I want this to be a general question as it may help others in the future but I will give the specifics of what I'm doing.
I am producing forecasts for many time series with different models. It is ...
- 606
1
vote
0
answers
1k
views
How does Unobserved Components Model work ? What exactly does it do after decomposing the time series in components?
I was working on Unobserved Components Model in R but found that the content in the help section of R is not very elaborate.Maybe it's not completely updated yet. The Nile dataset example online also ...
2
votes
0
answers
915
views
Daily data forecast: How to specify day of week and month of the year seasonality in SAS [closed]
I have daily data for 2 years starting from jan1 2014 till december 31 2015. I want to forecast for next 365 days using this data set. I am using below code.
...
- 1,114
0
votes
1
answer
222
views
Time Series Data Unobserved Components Model
I am using the Unobserved Components Model to decompose metal price data in Stata. i am using a model with three terms trend, cycle and irregular.
I specif the model below:
ucm copper, model(strend) ...
- 59
0
votes
0
answers
240
views
Proc UCM Forecast Series
I'm forecasting a data series with one time dependent variable (GDP) and one 0 1 time indicator "Flag" (0 starting at February 2014, 1 before that). When I use ...
- 293
0
votes
0
answers
286
views
Estimate UCM Equation from Ucm model?
Given the output of a ucm sas procedure i need to estimate the equations from the given output , but i don't really know how to do it or where to start. Do you have any hints or anything that might ...
- 103
1
vote
1
answer
2k
views
Time Series Unobserved Components Model
I have real price data for 55 years and want to study its trends. for this i am trying to estimate the Unobserved Components (UC) Model. Which software will be better eviews or stata? Also what are ...
- 59
2
votes
0
answers
2k
views
Time Series Decomposition - autocorrelation of error term
I would like to do time series decomposition, but the error term has a serial autocorrelation at the end and I am freaking out because I have really no idea what to do with that.
How I did it?
I ...
- 167
6
votes
3
answers
12k
views
Performance evaluation of auto.arima in R and UCM on one dataset
I started evaluating and comparing some methods in forecasting. I used Price of dozen eggs in US, 1900–1993, in constant dollars in the R software FMA package. I held out the last 10 years for ...
- 8,515
1
vote
0
answers
118
views
Sensible Transformations of Economic Indices like CFNAI and ADSBCI in Time Series Analysis
I am trying to fit an unobserved components model for revenue and transactions for a firm where I also use some exogenous variables that capture economic conditions. The UCM decomposes a time series ...
- 37.8k
2
votes
0
answers
1k
views
Predicting a time-series based on level, season, and cycle
I have time-series data for stock price. A sample of dataset is given below:
...
- 6,416
4
votes
4
answers
2k
views
High-Frequency Time-Series Forecast With A Lower Bound
I am helping a friend with a data project. He's interested in building a canary-in-the-coal-mine alert system for his website which tells him when the number of users dips below some critical lower ...
- 37.8k