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Mattia
Occasional Contributor

3-periods ahead forecasting with ARIMA/Transfer Model function

Hi everybody,

 

I am trying to solve a problem where a 3-period ahead forecast is needed. So for example, if the frequency of my data is one day, what I would like to achieve is a model that when runned monday gives me bak a prediction for thursday.

I am accostumed with the ARIMA platform in JMP but I can not find an option to return the 3rd prediction instead of the 1st.

 

Is there a way to achieve this?

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Accepted Solutions

Re: 3-periods ahead forecasting with ARIMA/Transfer Model function

I don't think there is a way to get just the three-step ahead prediction in a column from the time series platform. I also checked with the developer. I think it's possible to do with a script that excludes rows, fits the model, saves the predictions, writes them to the table, then loops by unexcluding one row at a time.

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Mattia
Occasional Contributor

Re: 3-periods ahead forecasting with ARIMA/Transfer Model function

Maybe my queestion was not clear, I would like to save the prediction (via the save prediction tab) and instead of getting the 1-period prediction I would like to get the 3rd. Is this possible? anyone?

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Re: 3-periods ahead forecasting with ARIMA/Transfer Model function

See Help > Books > Predictive and Specialized Modeling > Time Series chapter.

 

The launch dialog includes a number edit box for Forecast Periods. Enter 3 here for your case. Click OK, select the time series model, and then click the red triangle next to this model. Select Save Columns.

 

I illustrate these steps with the (inappropriate) Fitness data. I select Oxy for the Time Series role and enter 3 for Forecast Periods. I fit a first-order ARIMA model and select Save Columns. I receive these results:

 

Capture.PNG

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Mattia
Occasional Contributor

Re: 3-periods ahead forecasting with ARIMA/Transfer Model function

OK, thanks. Is there a way to save one prediction per period in the specified forecast?

So for example if I specify 3, I can save prediction for period 1, prediction for period 2 and prediction for period 3?

Many thanks in advance.

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Re: 3-periods ahead forecasting with ARIMA/Transfer Model function

As you can see from the example that I posted above, the answer is yes.

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Mattia
Occasional Contributor

Re: 3-periods ahead forecasting with ARIMA/Transfer Model function

Maybe I am missing something but in your example you have one table with one predicted value (in this case the 3rd period prediction).

What I am asking is the following. is there a way to have one column with the 1rd period prediction, one column with the 2nd period predicition and one column with the 3 period prediction for the same timestamp in one table as output of the ARIMA platform interface.

 

You can of course do it by running the arima 3 times with three different forecasts periods and then merge them, but is there another less cumbersome way to do it?

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Re: 3-periods ahead forecasting with ARIMA/Transfer Model function

I received a prediction column with the forecast for the next period (1), the period after that (2), and one more period (3). All three periods (rows 32-34) beyond the last observed time (row 31).

 

Three numbers as provided by JMP Time Series would require trivial effort for manual data entry into separate data columns. Otherwise, you could use the Tables > Split command to do it.

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Mattia
Occasional Contributor

Re: 3-periods ahead forecasting with ARIMA/Transfer Model function

Uhm, I am not so sure we understand eachother. It is for sure a problem with my understunding of the ARIMA platform in JMP.

Let's try to pick it up step by step.

 

1) If I select the forecast period as 3, is the column Predicted Oxy in your example filled with 3rd period prediction for the related timestamp? i.e. row 3 contains the 3rd period prediction for the same row in Actual Oxy and so on?

 

2) If this is the case, is it possible to obtain a column showing a predicted value for 1st forecast period and one for the 2nd forecasting period as well for all timestamp points in the table and not only for the last one?

 

Sorry for the confusion and thanks for your patience.

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Re: 3-periods ahead forecasting with ARIMA/Transfer Model function

Rows 1-31 are the actual (observed) responses used to fit the ARIMA model along with the predicted response. Rows 32-34 are the forecasts (predicted responses) for the 1st, 2nd, and 3rd periods beyond the observed data. So row 31 is last observation on Monday (in your example) and row 34 is the forecast for Thursday.

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Mattia
Occasional Contributor

Re: 3-periods ahead forecasting with ARIMA/Transfer Model function

Sorry for radio silence, I had a week vaction.

 

Ok now I see the problem, I would like to run the ARIMA model on a validation dataset separated from the training and for all points/observation I would like to see the 1st, 2nd en 3rd period ahead prediction. Is this possible?

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