This question was posed on crossvalidated.com: I have a monthly time series (for 2009–2012 non-stationary, with seasonality). I can use ARIMA (or ETS) to obtain point and interval forecasts for each month of 2013, but I am interested in forecasting the total for the whole year, including prediction intervals. Is there an easy way in R to obtain interval forecasts for the total for 2013? I’ve come across this problem before in my consulting work, although I don’t think I’ve ever published my solution. So here it is.
Posts Tagged ‘computing’:
ETS models now in EViews 8
The ETS modelling framework developed in my 2002 IJF paper (with Koehler, Snyder and Grose), and in my 2008 Springer book (with Koehler, Ord and Snyder), is now available in EViews 8. I had no idea they were even working on it, so it was quite a surprise to be told that EViews now includes ETS models.
Removing white space around R figures
When I want to insert figures generated in R into a LaTeX document, it looks better if I first remove the white space around the figure. Unfortunately, R does not make this easy as the graphs are generated to look good on a screen, not in a document. There are two things that can be done to fix this problem.
Out-of-sample one-step forecasts
It is common to fit a model using training data, and then to evaluate its performance on a test data set. When the data are time series, it is useful to compute one-step forecasts on the test data. For some reason, this is much more commonly done by people trained in machine learning rather than statistics. If you are using the forecast package in R, it is easily done with ETS and ARIMA models. For example: library(forecast) fit <- ets(trainingdata) fit2 <- ets(testdata, model=fit) onestep <- fitted(fit2) Note that the second call to ets does not involve the model being re-estimated. Instead, the model obtained in the first call is applied to the test data in the second call. This works because fitted values are one-step forecasts in a time series model. The same process works for ARIMA models when ets is replaced by Arima or auto.arima. Note that it does not work with the arima function from the stats package. One of the reasons I wrote Arima (in the forecast package) is to allow this sort of thing to be done.
Batch forecasting in R
I sometimes get asked about forecasting many time series automatically. Here is a recent email, for example: I have looked but cannot find any info on generating forecasts on multiple data sets in sequence. I have been using analysis services for sql server to generate fitted time series but it is too much of a black box (or I don’t know enough to tweak/manage the inputs). In short, what package should I research that will allow me to load data, generate a forecast (presumably best fit), export the forecast then repeat for a few thousand items. I have read that R does not like ‘loops’ but not sure if the current cpu power offsets that or not. Any guidance would be greatly appreciated. Thank you!!
forecast package v4.0
A few days ago I released version 4.0 of the forecast package for R. There were quite a few changes and new features, so I thought it deserved a new version number. I keep a list of changes in the Changelog for the package, but I doubt that many people look at it. So for the record, here are the most important changes to the forecast package made since v3.0 was released.
Makefiles for R/LaTeX projects
Updated: 21 November 2012 Make is a marvellous tool used by programmers to build software, but it can be used for much more than that. I use make whenever I have a large project involving R files and LaTeX files, which means I use it for almost all of the papers I write, and almost of the consulting reports I produce.
LaTeX loops
Today I was writing a report which included 20 figures, with the names demandplot1.pdf, demandplot2.pdf, …, demandplot20.pdf, and all with similar captions. Clearly a loop was required. After all, LaTeX is a programming language, so we should be able to take advantage of its capabilities.
COMPSTAT2012
This week I’m in Cyprus attending the COMPSTAT2012 conference. There’s been the usual interesting collection of talks, and interactions with other researchers. But I was struck by two side comments in talks this morning that I’d like to mention. Stephen Pollock: Don’t imagine your model is the truth Actually, Stephen said something like “economists (or was it econometricians?) have a bad habit of imagining their models are true”. He gave the example of people asking whether GDP “has a unit root”? GDP is an economic measurement. It no more has a unit root than I do. But the models used to approximate the dynamics of GDP may have a unit root. This is an example of confusing your data with your model. Or to put it the other way around, imagining that the model is true rather than an approximation. A related thing that tends to annoy me is to refer to the model as the “data generating process”. No model is a data generating process, unless the data were obtained by simulation from the model. Models are only ever approximations, and imagining that they are data generating processes only leads to over-confidence and bad science. Matías Salibián-Barrera: Make all your code public After giving an interesting survey of
(More)…
