Questions tagged [forecastability]
Forecastability refers to how well a time series can be forecasted. It is frequently expressed as a lower bound in the achievable forecast accuracy for some error measure.
31 questions
3 votes
2 answers
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Purely theoretical measure of predictability
(Let's set aside how we might estimate this.) I envision a setup where we have some space $\mathcal X$ of features and $\mathcal Y$ of outcomes, with each random variable $X_i\in\mathcal X$ ...
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7 votes
1 answer
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Brockwell/Davis seem to say more persistence implies better predictability---do I have a counterexample?
Brockwell/Davis, Introduction to Time Series and Forecasting, p. 40, write (notation slightly adapted; please refer to screenshot below) The best linear predictor $l(Y_{T})=aY_{T}+b$ for a stationary ...
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4 votes
1 answer
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Are stationary processes non-predictable, and non-stationary ones predictable?
I am reading A canonical analysis of multiple time series by Box and Tiao (1977). In the abstract of the paper, the authors mention: The least predictable components are often nearly white noise ...
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1 vote
1 answer
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Check if my time series is forecastable using Shannon entropy
According to this answer: https://datascience.stackexchange.com/a/95232/141037, is possible to verify the forecastability of a time series using the Shannon entropy, the lower the Shannon entropy ...
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1 vote
2 answers
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When do you know if you can discard data during the estimation of a model's order and its parameters?
I have been working with forecasting for a short while, and one thing has been clear so far: each problem is unique because data to each problem are unique. I find the variety of forecasting methods ...
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14 votes
4 answers
862 views
Definition of "unpredictable"
How do we rigorously define the term "unpredictable" in cases of point and density prediction? The term "unpredictable" is employed in various contexts, e.g. "the outcome of ...
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0 votes
1 answer
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How do you use mathmatical way to know that your machine learning problem is hopeless?
My question come across from this post: How to know that your machine learning problem is hopeless? Is there any mathmatical or statistical way to prove that my machine learning problem is hopeless? I ...
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0 votes
1 answer
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Is my time series predictable?
I am new to time series and would appreciate help in this matter. I have a time series with the following graph as a result of applying the plot_acf in Python. ...
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1 vote
0 answers
572 views
Demand classification
Most of the industries use a following approach to classify the demand pattern. Smooth demand (ADI < 1.32 and CV² < 0.49). Intermittent demand (ADI >= 1.32 and CV² < 0.49). Erratic demand (...
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0 votes
0 answers
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How good are inflation expectations as a predictor on inflation?
I want to research inflation expectations and how well they predict inflation. I have found some past articles but none of them explain how to forecast inflation using inflation expectations. I have a ...
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1 vote
1 answer
184 views
Contradiction in ARIMA: How does ARIMA predict a stationary series?
I know that for ARIMA to run, the series first needs to be made stationary using differencing. But stationary series are not predictable. So, how is this happening actually? Quote from Stationarity ...
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2 votes
1 answer
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Statistical terminology for the "difficulty" of an estimation task
I am looking for the proper statistical terminology to express the fact that one estimation task maybe intrinsically harder to solve than another task. Intuitively, I would characterize this property ...
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1 vote
1 answer
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How to practically apply Lewandowski algorithm?
I am studying forecasting based on Lewandowski algorithm. I have an article that introduces about Lewandowski algorithm, but I do not understand how to apply in practical, especially model it in Excel ...
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6 votes
2 answers
2k views
Ways to increase forecast accuracy [closed]
Situation Our use case: demand forecasting for sales and operations planning monthly granularity, ~5 years worth of historical data available goal is to forecast future time windows of 1, 3 and 12 ...
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0 votes
1 answer
193 views
Real world time series
I am not used to time series forecasting, so I feel sorry that my question might be stupid. Now i'm dealing with real world time series data, which is very short. I want to know what method I should ...
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