3-periods ahead forecasting with ARIMA/Transfer Model function

[#1]

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?

[#2]

You can click the red triangle in the outline for the fitted model ( e.g., ARIMA(1,1,1) ) and select Save Prediction Formula. You can use this formula, like any other, with any data you like.

Please read Help > Books > Specialized Modeling > Time Series.

[#3]

No because there you get the predicted value, which is the predicted for the next and not the i-th period a-head. At least this is how I understand the saved ARIMA/Transfer Function formula works, but maybe I am missing something.

What I would like to have is a saved ARIMA/Transfer Function which can also return any i-th prediction a-head for all rows in a dataset. What I would like to compare is how worse is the third period ahead wrt the first period.

[#4]

Hi Mattia,

I think you are looking for the three-step ahead forecast, is that correct? I think you can apply the Lag() function to the prediction formula and it will do what you want. There is probably an easier way, but try this. Save your prediction formula. Then right-click at the top of the prediction formula column and select New Formula Column > Row > Lag. This will give you the predictions going the wrong way. Right-click at the top of the lagged column and select Formula. In the second argument, enter –1. (You will probably have to enter a 1, then click the +/- button to make it negative one.) Then click OK.

This is the one-step ahead forecast. Note that row 2 of the prediction formula is row 1 of the lagged prediction formula. For the three-step ahead forecast, you would lag by –3.

Please let me know if any of this is not clear or if I have answered a different question than you were asking!

--Di

[#5]

Hi Di,

Thanks for your input. I understand what you are suggesting but this just shifts the value by one but you are still using one-step ahead predictions just shifted, this predictions are made with more information than what was effectively available at that timestamp in time. 

What I would like to do is compare the 3rd step a-head prediction with the 1st step a-head for any observed value in my validation dataset but made with the same amount of info, i.e. at that timestamp). In other words, I would like to really see the forecast for i-th period for any oberved value(row). Or using JMP terms and quoating from  Help > Books > Specialized Modeling > Time Series:

I would like to save the right part of the forecast plot for all the rows in my validation datasets. Assuming my forecast period is 3 I would then like to store the three periods in three different column next to the observed value.

Hope this makes it a bit more clear.

[#6 · Accepted solution]

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.

[#7]

Hi Di,

Thanks for taking the time to check this. It sounds quite combersume to do it in JMP at the moment. I might have a more in depth chat with one of the developers during the next summit to address this.