# 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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### Why when calculating RMSSE (from M5) is the denominator based on training data?

The RMSSE formula from the M5 competition is the following: https://mofc.unic.ac.cy/m5-competition/ This indicates the denominator, which is the naive error, is based on the 'training' data. Below is ...
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1 vote
24 views

### Which models to use when forecasting time series data that shows exponential decay?

I'm working through "Forecasting: Principles and Practice (3rd edition)" by Rob J Hyndman and George Athanasopoulos to better understand times series forecasting in an R environment. This ...
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### Leap year in daily time series data

I need to forecast daily electricity demand. There are two leap years in my dataset. I am just allowed to use the forecast library. Is it possible to exclude these two days? I read this but I could ...
• 267
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### Derivation of variance of ar(1) forecast residual formula

I've included an image of the formula. I'd appreciate it if anyone could provide me with the derivation for it or if they could provide me with a link to anywhere online or a textbook that covers it. ...
26 views

### How to derive a probability distribution from the R fable package forecast function?

In running the R code posted at the bottom, I derive a forecast for the next 10 periods at the 80% and 95% confidence levels, using the fable package and running 1000 simulation sample paths, as ...
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### Do I need to have studied econometrics to do time series analysis? [closed]

I have an undergrad degree in Economics and Management but my academic training/background in econometrics is insufficient, although I did study micro/macro economics and fundamental math and ...
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19 views

### Time Series: Predict Regressor or Omit Regressor?

Assume a simple time-series Y with no regressors sampled by hour and a time-series N for the same period, also with no ...
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6 views

### Does all disturbance models have the static gain equal as 1?

Disturbance signals for a dynamical system is very difficult to measure because they appear everywhere. The disturbance signals is always a normal distributed with zero mean, e.g gaussian signal, ...
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50 views

### Penalising Error above a certain Threshold

I have a ML model (a NN in the specific but I don't think it's important for the purpose of my question) that is doing pretty decent at his job, which is predicting the demand of a certain substance X ...
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### Why is the prediction interval going way beyond the $100\%$ threshold? [closed]

Prediction interval in my forecasting is too high. It goes beyond the threshold of 100% of forecasting share of health spending as a percentage of total. This is the relevant data and the associated ...
34 views

### What is the best way to normalize a timeserie with a trend without differencing it?

On a multivariate forecasting problem (a target and some covariates with known history used to predict future of the target) i'm struggeling with the normalization of my data (covariates and target). ...
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