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  • Simple Classical Forecasting Methods:, ,, ,, and - ARIMA Models (Box-Jenkins Procedure)

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    Amira Rana
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    The document discusses various time series forecasting methods including: 1) Simple classical methods like naive models, moving averages, exponential smoothing, decomposition, and regression; 2) ARIMA models using the Box-Jenkins procedure; 3) Double seasonal ARIMA models; 4) Intervention and outlier detection models; 5) Calendar variation and transfer function models; 6) VARIMA and GSTAR models; and 7) Introduction to nonlinear time series models. It also discusses characteristics of forecasting methods including objective versus subjective approaches, and patterns in time series like trends and seasonality.

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    Original Title

    [1st_Module] Introduction - Review

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    The document discusses various time series forecasting methods including: 1) Simple classical methods like naive models, moving averages, exponential smoothing, decomposition, and regression; 2) ARIMA models using the Box-Jenkins procedure; 3) Double seasonal ARIMA models; 4) Intervention and outlier detection models; 5) Calendar variation and transfer function models; 6) VARIMA and GSTAR models; and 7) Introduction to nonlinear time series models. It also discusses characteristics of forecasting methods including objective versus subjective approaches, and patterns in time series like trends and seasonality.

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    Download as PPTX, PDF, TXT or read online from Scribd
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    12 views7 pages

    Simple Classical Forecasting Methods:, ,, ,, and - ARIMA Models (Box-Jenkins Procedure)

    Uploaded by

    Amira Rana
    The document discusses various time series forecasting methods including: 1) Simple classical methods like naive models, moving averages, exponential smoothing, decomposition, and regression; 2) ARIMA models using the Box-Jenkins procedure; 3) Double seasonal ARIMA models; 4) Intervention and outlier detection models; 5) Calendar variation and transfer function models; 6) VARIMA and GSTAR models; and 7) Introduction to nonlinear time series models. It also discusses characteristics of forecasting methods including objective versus subjective approaches, and patterns in time series like trends and seasonality.

    Copyright:

    © All Rights Reserved
    Download as PPTX, PDF, TXT or read online from Scribd
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    of 7

    Material

    1. Introduction
    2.Simple Classical Forecasting Methods:
    Naïve Models, Moving Average Methods,
    Exponential Smoothing Methods,
    Decomposition Method, Regression and
    Trend Analysis, and Time Series
    Regression.
    3.ARIMA models (Box-Jenkins procedure)
    4.Double Seasonal ARIMA
    5.Intervention Model and Outlier Detection
    6.Calendar Variation Model
    7.Transfer Function Model
    8.VARIMA and GSTAR Model
    9.Introduction to Nonlinear Time Series
    1
    Model Module
    and 1: S1Modern Methods
    Statistics, ITS, February 11, 2013for Time
    Series Forecasting
    Characteristics of Forecasting
    Methods
    Source: J.S. Armstrong, “Principles of
    Forecasting”

    2 Module 1: S1 Statistics, ITS, February 11, 2013


    Intro: Forecasting Methods
    Forecasting Method

    Objective Subjective (Judgmental)


    Forecasting Methods Forecasting Methods

    Time Series Causal


    Analogies
    Methods Methods

    Naïve Methods Simple Regression


    Delphi
    Moving Averages Multiple Regression
    PERT
    Exponential Smoothing Neural Networks

    Simple Regression
    Survey techniques
    ARIMA

    Neural Networks
    References :
     Makridakis et al. (1998)
    Combination of Time Series – Causal Methods
     Hanke and Reitsch (2004)
     Intervention Model
     Wei, W.W.S.
     Transfer Function (ARIMAX)
    (2006) 
     VARIMA (VARIMAX)
    Box, Jenkins and Reinsel (1994)
     Neural Networks

    3 Module 1: S1 Statistics, ITS, February 11, 2013


    Time Series
    PATTERN
    General
    time series
    “PATTERN”
    Stationer
     Trend:
    linear & nonlinear

    Seasonal: additive &
    4 multiplicative
    Module 1: S1 Statistics, ITS, February 11, 2013
    General of Time Series
    PATTERN

    5 Module 1: S1 Statistics, ITS, February 11, 2013


    Motivation
     The M3-Competition: results,
    conclusions and implications
    (a) Statistically sophisticated or complex
    methods do not necessarily provide
    more accurate forecasts than simpler
    ones.
    (b) The relative ranking of the performance of
    the various methods varies according to the
    accuracy measure being used.
    (c) The accuracy when various methods are
    being combined outperforms, on average,
    the individual methods being combined and
    does very well in comparison to other
    methods.
    6
    (d) The accuracy of the
    Module 1: S1 Statistics, ITS, various methods
    February 11, 2013
    depends upon the length of the forecasting
    Selecting Forecasting Methods

    Source: J.S. Armstrong, “Principles of


    Forecasting”

    7 Module 1: S1 Statistics, ITS, February 11, 2013

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