All Questions
22
questions
1
vote
1
answer
934
views
SAS: Flat line forecast ARIMA model?
I'm trying to forecast a large dataset using ARIMA (The data does not have seasonality), I ended up getting an ARIMA(2,1,2) model where the log of volume was taken due to increase in variance over ...
- 23
1
vote
0
answers
1k
views
"Back-casting" a Time Series
The problem I have is that i have a series of data (between 2000-2010) and i have another series (independant variable) which is available between 1980 and 2010. I need to backcast the value of the ...
- 11
0
votes
0
answers
72
views
Discarding Observations during time series analysis
I'm studying Economics and we use SAS as our programming software. What I did notice is that with the AR and MA process we usually work with 250 observations. What confuses me though is the lecturer ...
- 1
1
vote
1
answer
2k
views
Combining Intermittent Demand and ARIMA
I have a time series dataset, where a customer may purchase fuel one week and not purchase again for 2-3 weeks. I need to forecast when a customer is likely to purchase and how much they will spend. ...
- 21
1
vote
0
answers
22
views
interpretationInput variables ARIMA
Could anyone help me with the interpretation of the deltas:
The dependent variable lnY (with y=number of calls) is differentiated 7 times, given a weekly seasonality.
Independent variables:
'...
1
vote
0
answers
113
views
How to write a combination Seasonal ARIMA model in mathematical form
I'm doing a forecast combination model in SAS: the first is an ARIMA (10, 0, 1)(0,1,1)s NOINT with a point intervention at t=3
And the second is a MA model with only lag 13 and simple differencing d =...
- 153
4
votes
1
answer
3k
views
ARIMA forecast has all values as zero
I'm trying to forecast 15 data points based on a time series of 61 data points. Each point is the daily total for a measure, and values of zero are possible. I do have the actual values for the 15 ...
- 177
0
votes
0
answers
1k
views
How to adjust ARIMA model for structural breaks?
I am trying to make an ARIMA forecast using the PROC ARIMA step, however there seems to be structural breaks in the data and when this is present it invalidates ARIMA results. I figure I can dummy out ...
0
votes
0
answers
670
views
use of proc autoreg to estimate parameters for ARIMA-GARCH model in sas
I have fitted my data to a seasonal ARIMA model. Now I want to analyze the variance of the time series data. I learned from sas tutorial to use proc autoreg, and model statement. However, the model in ...
2
votes
1
answer
815
views
Dynamic regression and prewhitening
I'm working on a time series forecasting problem where sales needs to be predicted using weather variables. The weather variables are auto correlated and hence pre-whitening is needed to find the true ...
- 163
2
votes
1
answer
5k
views
Check for White Noise Residuals for AR(1) Model
I was going through the SAS documentation for PROC ARIMA and got stuck at this point.
...
- 163
1
vote
0
answers
234
views
Transfer Function Confidence interval estimation
I've obtained a Transfer Function model to predict the value of $y_t$ which is:
$$ y_t - \mu = \frac{0.0034 + 0.0024B^9}{1- 0.9B}x_{t-9} + \frac{1}{1+0.6B} a_t$$
I obtained this model with SAS, and ...
- 111
1
vote
1
answer
1k
views
X12 for seasonality adjustment - SAS
I found this code online and I wanted to dissect it before programming something similar in SAS.
The problem is idenitfy seasonality in a time series. I want to understand the code line by line:
...
- 137
3
votes
2
answers
950
views
SAS ARIMA forecast estimate statement
Im trying to forecast a timeseries (daily intervals) but I am unsure of the syntax of the estimate statement. I know p is for autoregression and ...
- 33
11
votes
2
answers
11k
views
What exactly is the Box-Jenkins method for ARIMA processes?
The Wikipedia page says that Box-Jenkins is a method of fitting an ARIMA model to a time series. Now, if I want to fit an ARIMA model to a time series, I will open up SAS, call ...
- 6,615