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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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3 views

Constrain ARIMA to positive values (Python)

I am working on a time series whose values are strictly positive. However, in some cases when the values are near zero, the forecast also takes negative values. Is there a way to tell to the Python ...
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1answer
13 views

Asymmetric error measure for forecasts

I am building a model for forecasting some number of activations. My data set has a panel structure. Now, I want to come up with a forecast performance measure to assess the performance of my model ...
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22 views

ARIMA forecast looks lagged

I am trying to make forecast of some time series that are both non-stationary and seasonal. The overall result looks quite good. However, I constantly see a lag (or even a bias) between the observed ...
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1answer
18 views

Forecasting using Trend and seasonality

Im new here, also a newbie in statistics. I was told to do forecasting at work by my boss. I used to do a naive forecasting before, and i want that to change. I want to do a real world forecast using ...
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1answer
67 views

Daily data, R forecasts only yield straight line?

I've tried ets, tbats, and arima - I can't seem to get anything but a straight line out of this. Example I tried: ...
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2answers
50 views

Which ARIMA model do I have to select?

I have monthly data since 1990 to January 2019 and I need to make a forecast of the next 6 months so I use a sample of the past ten years(I used a sample of the last ten years due to my job ...
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0answers
12 views

Conjoint Analysis and Demand Estimation

I have a) part wise utilities from conjoint analysis done in a survey(each demand driver as attribute) and b) demand estimation for our product in future. How can we link both these? Basically how ...
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1answer
30 views

Maximum number of Fourier terms in forecast package

I am using the forecast package in R to get some Fourier components - namely, function fourier(ts, K, ..). For a time series <...
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0answers
17 views

Demand Estimation without data [closed]

I have a very interesting problem. Our client, a major theme park company wants to set up a park in an asian city. They want to a) understand the total demand to the park every week for the future ...
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13 views

Specific data formatting techniques for discontiguous time series? [on hold]

I'm facing a predicting problem for food alerts. The goal is to predict the variables of the most probable alert in the next x days (also any information I could get about future alerts is really ...
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1answer
32 views

Predictability of a time series

Say we are given a time series $(x_t)_{t \in P}$ where $P$ is the index set of past observations (train set). Imagine that we have built a model for our data and now want to assess predictability of ...
2
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1answer
31 views

Principles behind time-series forecasting intervals

So, this is truly a bit of a general question, but I am not aware of the guiding principles (if there are any) behind forecasting intervals. For whatever time-series model one might be using, whether ...
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1answer
43 views

ARIMAX - predict

I have the monthly number of patients in a psychiatric facility from Jan 2010 to Dec 2018 - the data shows a seasonal pattern. I want to forecast the number of patients in the facility from Jan 2019 ...
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1answer
43 views

How to fit a stepwise regression with ARIMA errors using Arima function in R?

I am fitting a regression model with ARIMA errors in R using the Arima function from the ...
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0answers
23 views

Forecasts are at a different level to base in hts/combinef forecast

I am forecasting a multi-level hierarchy of smoothed series using the hts forecasting package. Some series have forecasts at significantly different levels to the input series. As pictured below, ...
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0answers
16 views

Observation Operator - Data Assimilation

In data assimilation, one assumes the existence of a observation operator $\mathcal{H}$ that maps the model-state vector $\bf{x_b}$ to $ \bf{y_b}$ (the model-equivalent of the observations $\bf{y_o}$) ...
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0answers
35 views

Which are the benefits of using ARIMA vs LSTM for time series forecasting? [duplicate]

I have already read this question: https://datascience.stackexchange.com/questions/12721/time-series-prediction-using-arima-vs-lstm but I want to know in which circumstances is better ARIMA and in ...
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1answer
127 views

Strategies for predicting 100 binary choices given the previous 100

Background As an experimental psychologist, I've long had an interest in binary decision-making tasks. Typically, in such a task, I manipulate a few properties of some hypothetical or real decision, ...
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0answers
18 views

Historical average with exponential smoothing model [duplicate]

This topic similar with this one R Time Series Analysis forecast result always remains same But I perfrom exponential smoothing model in R. ...
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1answer
16 views

How to calculate price prediction model accuracy from metrics such as MAE and MSE

I am new to both statistics and machine learning in general. I've tried to construct a price prediction model using the RNN-LSTM architecture. For this problem I have a dataset of one-minute closing ...
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1answer
25 views

AIC values for auto.arima [closed]

I have a problem with identifying why auto.arima suggest specific coefficients. I have time series with multiple seasonalities and I am trying to forecast future values using STL+ARIMA. I have been ...
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0answers
18 views

With omitted variables is OLS estimator still the best linear predictor?

Suppose the true model is $$y = \beta_0 + \beta_1 x_1 + \beta_2 x_2 + \epsilon$$ where $x_1$ and $x_2$ are correlated and $\epsilon$ is white noise. I omit variable $x_2$ and apply OLS to estimate $...
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0answers
16 views

Prediction intervals for THieF

I would like to add prediction intervals to a temporal aggregation using the thief package. Can someone point out either how to automatically plot prediction ...
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0answers
14 views

Calculating probability of voting results from small sample aize

2 million people voted in a poll for their favourite song. 35,000 votes have been counted so far, of which: 575 votes are for Song A 466 votes are for Song B 393 votes are for Song C (And the ...
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1answer
217 views

Which estimation technique minimizes the MAPE?

Suppose we have two estimation techniques: Linear Least Squares, which aims to minimize squared residuals Least Absolute Deviation, which aims to minimize absolute residuals We have a model, which ...
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2answers
52 views

Forecasting the number of visitors in each hotel in a city

I am looking for some suggestion on what a good approach would be for the following forecasting problem. Problem statement: There are 100 hotels in a city and I have the monthly data on the total ...
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2answers
86 views

machine learning algorithms (Xgb, LSTM, others) for time series forecasting

I have seen many kernels that are using machine learning algorithms (Xgb, LSTM, others) on time series forecasting. A time series data typically has trend and seasonal components. In general my ...
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0answers
14 views

Out-of-sample predictive checks for Bayesian TVP models

Comparatively new to Bayesian econometrics so apologies if this is a silly question. I am running a time-varying parameter regression where the parameters are estimated as in Primiceri (2005). My ...
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2answers
109 views

How to study auto-correlation of time series when shocks are present?

The time series I want to model has several shocks due to law changes. Basically, I do not have a lot of data that isn't impacted by these shocks/shifts/pulses. Now, I want to study the ACF and PACF ...
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0answers
43 views

Time series model for demand forecasting?

I have a time series $Y_t$ (example:university applications received in a certain month) which I want to forecast. I have another time series $X_t$ and I know that $Y_t$ is related to past lags of $...
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0answers
11 views

How to choose the best parameter for the LINEX loss function?

I am using a LINEX loss function to evaluate my forecast. What procedure should I follow to find the best $\alpha$ parameter? LINEX function: $$L(e) = \exp(\alpha e) - \alpha e - 1$$ Where $e$ is the ...
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0answers
45 views

ARIMA model with measurement error

I'm interested in forecasting a time series $m_t$ which is contaminated with measurement error $e_t$, so the observed time series is $y_t = m_t + e_t$. I can suppose $m_t$ and $e_t$ are independent ...
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0answers
23 views
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0answers
41 views

ARMA process forecasts and maximum likelihood parameters

I have some trouble understanding the forecasting/inference process of ARMA models. From Hamilton (which I am reading now), we can obtain forecasts at $Y$ from any linear process with r.v. values $X$...
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1answer
19 views

LSTM - random and always-different time between data measurements?

I am working with a time series problem where the time between two data measurements is random, and I am trying, without luck, to find an LSTM architecture that can handle this. A very simplified ...
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2answers
63 views

Variance inhomogeneity in time series when forecasting

I am using a time series for monthly temperatures to predict future temperatures. To this I am using the seasonal ARIMA model and Holt Winters forecast, and my results seems fine. However, my data ...
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0answers
20 views

Help in structuring problem to forecast end of testing

I need assistance, please, in structuring the following problem. (I can use the World-Wide Help Manual to do the math and the calculations, I need help in setting up the structure of the analysis). ...
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0answers
44 views

Programming for hybrid models of arima-ann and arima-svm time series foercasting in rstudio

i am doing my mphil thesis on hybrid modeling of arima-ann and arima-svm for time series forecasting following the G.Peter Zhang's research paper (https://www.sciencedirect.com/science/article/pii/...
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29 views

Using ecmpredict in R to forecast from an ECM

I have fit an ECM model to my data using the ecm function, which is part of the ecm package. I would now like to use ecmpredict to predict/forecast future values of my target variable. The function ...
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0answers
25 views

Forecasting Short Time-Series with other time-series

This is sort of related to a previous question, but now I don't have the requirement of generating customer-level forecasts. I've acquired a set of card customers every month for the last 3 years. I ...
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23 views

Programming for SVM or SVR time series foercasting in rstudio

is there any programming codes for SVM for time series forecasting like neural network has build in function of nnetar in forecast package and we can also do it from caret package. if not, then how ...
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2answers
80 views

Compute forecasts and 90% forecast intervals for ARIMA(p,1,q) models

Consider the two models (ARIMA(1,1,0) and (ARIMA(0,1,1)):
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0answers
9 views

Penalized regressions with forecast package and ets in R

Is there a way within the forecast package and ets to remap or penalize residuals based on some user defined function? E.g. If one wanted to impose a skew in error minimization, is this possible? ...
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1answer
33 views

How to perform 1 step ahead forecasts with a VAR function [closed]

Say I am given the parameters of a VAR (2) function with two variables. How would I use this information to perform a 1 step ahead forecast? Example of what I would have is... $A_t= 1.5 - 0.5A_{t-1} ...
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1answer
71 views

What is multi-step time series forecasting?

Disclaimer: New to this field I am researching ways to forecast a given time-series. So, I understand what Univariate and ...
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0answers
22 views

model tuning for Holt function

I was working with the Holt function from "aTSA" package, which uses default values of ...
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0answers
24 views

How to obtain an HP filter trend less susceptible to end-point bias?

My understanding is that if a series is stationary, using the HP filter on it does not introduce cyclical artifacts. Also, it has been proposed that in order to overcome the end-point bias one can use ...
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0answers
14 views

Returns forecast back to closing price?

I'm working with log returns. I've selected an ARMA-GARCH for mean and volatility forecasting and I would like to get the forecasted confidence intervals and plot expressed in terms of the closing ...
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1answer
46 views

Time series: group and then forecast, or forecast and then group

Let's say we want to forecast revenue by month for the next 12 months, and we have daily revenue data for the last 3 years. We could then group this data by month, train our model using revenue by ...
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0answers
15 views

Testing forecast accuracy in Excel [duplicate]

I'm looking for some advice on how to determine how accurate a forecast is. Basically, what I have is 23 years of competitive results for a particular sport (10000+ matches). The matches are broken ...