# 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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### Problem with ets function diagnostic for model with trend and seasonality

I have been meaning to fit an exponential smoothing model to a monthly series that looks like the one below: When I decompose the series it is almost evident that we have seasonality and also there ...
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### Two charts with regular peaks and troughs but only one is stationary?

I'm reading Forecasting Principles and Practice section on stationarity. We are shown the following image and asked which are stationary: Obvious seasonality rules out series (d), (h) and (i). Trends ...
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### Multivariate ARIMA model with irregular time-series

I have a financial time-series dataset consisting of prices of 12 different products (financial futures contracts) that expire x months away from now. So if I plot these 12 contracts with end-of-day ...
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### Manually calculations of MA(3) model differs from the results of Arima values using the forecast Package

I have a time series that was fitted to a MA(3) using the forecast package in R. ...
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### Auto. Arima and ARIMAX for multi variate time series forecasting

I'm trying to do multivariate time series forecasting using the forecast package in R. The data set contains one dependent and independent variable. From the cross-correlation the 0 day lag of the ...
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### Large dataset time series model help!

I'm doing a time series project on quite a large data set based on the stocks of a company over time. The first image shows quite a large increase in variance over time and suggests the series isn't ...
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### ARIMAX and auto.arima for multivariate time series forecasting in R

I'm trying to do multivariate time series forecasting using the forecast package in R. The data set contains one dependent and independent variable. From the cross-...
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### Differences between Static Factors, Dynamic factors and Exploratory factor analysis in Time Series

I came across many types of factor analysis techniques in the context of time series data. I am not sure whether exploratory factor analysis refers to the same static factor analysis methodology. If ...
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### Can log-transform to TS reduce forecast accuracy vs non-transformed TS

I have to apply a SARIMAX model to over 300 TS. Many of them have increasing volatility which can be addressed by aplying log to the TS. Problem is that also many TSs don't have this problem. Is it ok ...
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### Should boostrapped prediction intervals be normally distributed?

I am trying to implement boostrap prediction interval example of FPP3 book in python for learning purposes (https://otexts.com/fpp3/prediction-intervals.html). Prediction interval is estimated by ...
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### Forcasting Daily Data with End of the Month Pattern

I was hoping I could get some guidance on a forecasting problem that I am working on. I have data with a daily frequency & I have a number of time series that follow very distinct patterns. For ...
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### Forecasting average of two time series: Group Input vs Output

I'm trying to get the average movement of a 1-step-forecast of $n$ time series with a SARIMA model. Some series have good fit, but others don't. What is a better approach: Make a new Time Series that ...
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### auto.arima with xreg in-sample performance worse than univariate

Based on this discussion ARIMAX vs. Regression With ARIMA Errors and the blog post link https://robjhyndman.com/hyndsight/arimax/ , I have tried the following: ...
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### Does this ARIMA model take seasonality into account?

I'm writing a tutorial on traditional time series forecasting models. One key issue with ARIMA models is that they cannot model seasonal data. So, I wanted to get some seasonal data and show that the ...
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### Supply chain planning - multiple warehouses

I work in retail company, we have multiple warehouses across the Europe, we sell a lot of different articles. In supply chain planning we take article, forecast sales of it (ARIMA) and in next step we ...
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### Why does the RMSE stay the same regardless of the algorithm that I use?

I have a dataframe with users, items, and ratings that are either 0 or 1. There are more items than users, some users might rate lots of common items, and some not any common items at all. Here is a ...
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### Combining Linear Regression and Exponential Smoothing

I am working on a forecasting model that predicts inventory levels of a certain item based on how far behind our production line is predicted to be on a given day. EDA showed a high level of ...
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### Forecasting using PC-VAR

I am trying to forecast an index by using a PC-VAR. When performing the PCA, can I exclude the response variable from the dataset and find the PCs and later build a VAR with the response variable and ...
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### Sales forecasting. What model to choose and how to interpret ACF/PACF?

I have the following raw sales timeseries: Clearly it's not stationary since it does have somewhat of an increasing trend (non-stationarity also verified by DF-test). By differencing I obtain the ...
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### Measuring similarity between students to build an exam recommender system

I am playing around with the following problem: I have various groups of students from various schools and they receive online questions. A group receives the same questions, but different groups in ...
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### Time Series Forecasting Within a Year + Trends From Past Years

I'm trying to wrap my head around the following time series forecasting problem: My goal is to forecast revenue/expenditure within a fiscal year based on daily data Daily data include cumulative ...
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### Which one should we use for forecasting: differenced series and cox-box transformed series?

I have a non-stationary dataset which shows the prices. I wanted to apply time series analysis on it. I took the first differences of the dataset and it became stationary. Then I determined the p and ...
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### How to interpret ACF/PACF plots with no recent lag correlations?

I have a time-series data that looks like this: There is obviously an upward trend in this data, so I do differencing with lag of 1, i.e., Series = Y(t) - Y(t-1) The differenced series looks as ...
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### How can I fix this error in computing accuracy when training an LSTM for time series forecasting

I'm trying some simples scenarios for getting familiar with time series forecasting with LSTM using Keras. I've created a very simple time series, which is a linear decaying function from N (100000) ...
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### Exogenous Variables in SARIMAX

I am trying to make a SARIMAX model. The data has loan type (A,B,....F), loan duration with several groups, and loan amount (y-variable). From that, I generated dummy columns for each categories from ...