Forecasting
Forecasting is the process of making predictions based on past and present data. Later
these can be compared (resolved) against what happens. For example, a company might
estimate their revenue in the next year, then compare it against the actual results.
Prediction is a similar, but more general term. Forecasting might refer to specific formal
statistical methods employing time series, cross-sectional or longitudinal data, or
alternatively to less formal judgmental methods or the process of prediction and
resolution itself. Usage can differ between areas of application: for example, in hydrology
the terms "forecast" and "forecasting" are sometimes reserved for estimates of values at
certain specific future times, while the term "prediction" is used for more general estimates,
such as the number of times floods will occur over a long period.
Risk and uncertainty are central to forecasting and prediction; it is generally considered
good practice to indicate the degree of uncertainty attaching to forecasts. In any case,
the data must be up to date in order for the forecast to be as accurate as possible. In
some cases the data used to predict the variable of interest is itself forecast.[1]
Forecasting software packages have become available in recent years; the subject has
deserved scholarly reviews.[2][3]
Applications
Forecasting has applications in a wide range of fields where estimates of future conditions
are useful. Depending on the field, accuracy varies significantly. If the factors that relate
to what is being forecast are known and well understood and there is a significant amount
of data that can be used, it is likely the final value will be close to the forecast. If this is
not the case or if the actual outcome is affected by the forecasts, the reliability of the
forecasts can be significantly lower.[4]
Climate change and increasing energy prices have led to the use of Egain Forecasting for
buildings. This attempts to reduce the energy needed to heat the building, thus reducing the
emission of greenhouse gases. Forecasting is used in customer demand planning in everyday
business for manufacturing and distribution companies.
While the veracity of predictions for actual stock returns are disputed through reference
to the Efficient-market hypothesis, forecasting of broad economic trends is common. Such
analysis is provided by both non-profit groups as well as by for-profit private
institutions.
Forecasting foreign exchange movements is typically achieved through a combination of
chart and fundamental analysis. An essential difference between chart analysis and
fundamental economic analysis is that chartists study only the price action of a market,
whereas fundamentalists attempt to look to the reasons behind the action.[5] Financial
institutions assimilate the evidence provided by their fundamental and chartist researchers
into one note to provide a final projection on the currency in question.[6]
Forecasting has also been used to predict the development of conflict situations.[7]
Forecasters perform research that uses empirical results to gauge the effectiveness of
certain forecasting models.[8] However research has shown that there is little difference
between the accuracy of the forecasts of experts knowledgeable in the conflict situation
and those by individuals who knew much less.[9]
Similarly, experts in some studies argue that role thinking does not contribute to the
accuracy of the forecast.[10] The discipline of demand planning, also sometimes referred to
as supply chain forecasting, embraces both statistical forecasting and a consensus process.
An important, albeit often ignored aspect of forecasting, is the relationship it holds with
planning. Forecasting can be described as predicting what the future will look like,
whereas planning predicts what the future should look like.[11][12] There is no single right
forecasting method to use. Selection of a method should be based on your objectives and
your conditions (data etc.).[13] A good place to find a method, is by visiting a selection tree.
An example of a selection tree can be found here.[14] Forecasting has application in many
situations:
Supply chain management - Forecasting can be used in supply chain management to ensure
that the right product is at the right place at the right time. Accurate forecasting will
help retailers reduce excess inventory and thus increase profit margin. Studies have
shown that extrapolations are the least accurate, while company earnings forecasts
are the most reliable.[15] Accurate forecasting will also help them meet consumer
demand.
Customer demand planning
Economic forecasting
Earthquake prediction
Egain forecasting
Energy forecasting for renewable power integration
Finance against risk of default via credit ratings and credit scores
Land use forecasting
Player and team performance in sports
Political forecasting
Product forecasting
Sales forecasting
Technology forecasting
Telecommunications forecasting
Transport planning and Transportation forecasting
Weather forecasting, Flood forecasting and Meteorology
Forecasting as training, Betting and Futarchy
In several cases, the forecast is either more or less than a prediction of the future.
In Philip E. Tetlock's Superforecasting, he discusses forecasting as a method of improving
ones ability to make decisions. A person can become better calibrated- ie having things they
give 10% credence to happening 10% of the time. Or they can forecast things more
confidently - coming to the same conclusion but earlier. Some have claimed that that
forecasting is a transferrable skill with benefits to other areas of discussion and decision
making.
Betting on sports or politics is another form of forecasting. Rather than being used as
advice, bettors are paid based on if they predicted correctly. While decisions might be made
based on these bets (forecasts), the main motivation is generally financial.
Finally, Futarchy is a form of government where forecasts of the impact of government
action are used to decide which actions are taken. Rather than advice, in Futarchy's
strongest form, the action with the best forecasted result is automatically taken.
Categories of forecasting methods
Qualitative vs. quantitative methods E…
Qualitative forecasting techniques are subjective, based on the opinion and judgment of
consumers and experts; they are appropriate when past data are not available. They are
usually applied to intermediate- or long-range decisions. Examples of qualitative
forecasting methods are informed opinion and judgment, the Delphi method, market
research, and historical life-cycle analogy.
Quantitative forecasting models are used to forecast future data as a function of past
data. They are appropriate to use when past numerical data is available and when it is
reasonable to assume that some of the patterns in the data are expected to continue into
the future. These methods are usually applied to short- or intermediate-range decisions.
Examples of quantitative forecasting methods are last period demand, simple and weighted
N-Period moving averages, simple exponential smoothing, poisson process model based
forecasting[16] and multiplicative seasonal indexes. Previous research shows that different
methods may lead to different level of forecasting accuracy. For example, GMDH neural
network was found to have better forecasting performance than the classical forecasting
algorithms such as Single Exponential Smooth, Double Exponential Smooth, ARIMA and back-
propagation neural network.[17]
Average approach E…
In this approach, the predictions of all future values are equal to the mean of the past
data. This approach can be used with any sort of data where past data is available. In time
series notation:
[18]
where is the past data.
Although the time series notation has been used here, the average approach can also be
used for cross-sectional data (when we are predicting unobserved values; values that are
not included in the data set). Then, the prediction for unobserved values is the average of
the observed values.
Naïve approach E…
Naïve forecasts are the most cost-effective forecasting model, and provide a benchmark
against which more sophisticated models can be compared. This forecasting method is only
suitable for time series data.[18] Using the naïve approach, forecasts are produced that are
equal to the last observed value. This method works quite well for economic and financial
time series, which often have patterns that are difficult to reliably and accurately
predict.[18] If the time series is believed to have seasonality, the seasonal naïve approach
may be more appropriate where the forecasts are equal to the value from last season. In
time series notation:
Drift method E…
A variation on the naïve method is to allow the forecasts to increase or decrease over
time, where the amount of change over time (called the drift) is set to be the average
change seen in the historical data. So the forecast for time is given by
[18]
This is equivalent to drawing a line between the first and last observation, and
extrapolating it into the future.
Seasonal naïve approach E…
The seasonal naïve method accounts for seasonality by setting each prediction to be equal
to the last observed value of the same season. For example, the prediction value for all
subsequent months of April will be equal to the previous value observed for April. The
forecast for time is[18]
where =seasonal period and is the smallest integer greater than .
The seasonal naïve method is particularly useful for data that has a very high level of
seasonality.
Time series methods E…
Time series methods use historical data as the basis of estimating future outcomes. They are
based on the assumption that past demand history is a good indicator of future demand.
Moving average
Weighted moving average
Exponential smoothing
Autoregressive moving average (ARMA) (forecasts depend on past values of the variable
being forecast and on past prediction errors)
Autoregressive integrated moving average (ARIMA) (ARMA on the period-to-period change
in the forecast variable)
e.g. Box–Jenkins
Seasonal ARIMA or SARIMA or ARIMARCH,
Extrapolation
Linear prediction
Trend estimation (predicting the variable as a linear or polynomial function of time)
Growth curve (statistics)
Recurrent neural network
Relational methods E…
Some forecasting methods try to identify the underlying factors that might influence the
variable that is being forecast. For example, including information about climate patterns
might improve the ability of a model to predict umbrella sales. Forecasting models often
take account of regular seasonal variations. In addition to climate, such variations can
also be due to holidays and customs: for example, one might predict that sales of college
football apparel will be higher during the football season than during the off season.[19]
Several informal methods used in causal forecasting do not rely solely on the output of
mathematical algorithms, but instead use the judgment of the forecaster. Some forecasts
take account of past relationships between variables: if one variable has, for example, been
approximately linearly related to another for a long period of time, it may be appropriate
to extrapolate such a relationship into the future, without necessarily understanding the
reasons for the relationship.
Causal methods include:
Regression analysis includes a large group of methods for predicting future values of a
variable using information about other variables. These methods include both parametric
(linear or non-linear) and non-parametric techniques.
Autoregressive moving average with exogenous inputs (ARMAX)[20]
Quantitative forecasting models are often judged against each other by comparing their
in-sample or out-of-sample mean square error, although some researchers have advised
against this.[21] Different forecasting approaches have different levels of accuracy. For
example, it was found in one context that GMDH has higher forecasting accuracy than
traditional ARIMA[22]
Judgmental methods E…
Judgmental forecasting methods incorporate intuitive judgement, opinions and subjective
probability estimates. Judgmental forecasting is used in cases where there is lack of
historical data or during completely new and unique market conditions.[23]
Judgmental methods include:
Composite forecasts
Cooke's method
Delphi method
Forecast by analogy
Scenario building
Statistical surveys
Technology forecasting
Artificial intelligence methods E…
Artificial neural networks
Group method of data handling
Support vector machines
Often these are done today by specialized programs loosely labeled
Data mining
Machine learning
Pattern recognition
Geometric Extrapolation with error prediction E…
Can be created with 3 points of a sequence and the "moment" or "index", this type of
extrapolation have 100 % accuracy in predictions in a big percentage of known series
database (OEIS). [24]
Other methods E…
Granger causality
Simulation
Prediction market
Probabilistic forecasting and Ensemble forecasting
Forecasting accuracy
The forecast error (also known as a residual) is the difference between the actual value
and the forecast value for the corresponding period:
where E is the forecast error at period t, Y is the actual value at period t, and F is the
forecast for period t.
A good forecasting method will yield residuals that are uncorrelated. If there are
correlations between residual values, then there is information left in the residuals which
should be used in computing forecasts. This can be accomplished by computing the expected
value of a residual as a function of the known past residuals, and adjusting the forecast
by the amount by which this expected value differs from zero.
A good forecasting method will also have zero mean. If the residuals have a mean other
than zero, then the forecasts are biased and can be improved by adjusting the forecasting
technique by an additive constant that equals the mean of the unadjusted residuals.
Measures of aggregate error:
Scaled-dependent errors E…
The forecast error, E, is on the same scale as the data, as such, these accuracy measures
are scale-dependent and cannot be used to make comparisons between series on different
scales.
Mean absolute error (MAE) or mean absolute deviation (MAD):
Mean squared error (MSE) or mean squared prediction error (MSPE):
Root mean squared error (RMSE):
Average of Errors (E):
Percentage errors E…
These are more frequently used to compare forecast performance between different data
sets because they are scale-independent. However, they have the disadvantage of being
extremely large or undefined if Y is close to or equal to zero.
Mean absolute percentage error (MAPE):
Mean absolute percentage deviation (MAPD):
Scaled errors E…
Hyndman and Koehler (2006) proposed using scaled errors as an alternative to percentage
errors.
Mean absolute scaled error (MASE):
where m=seasonal period or 1 if non-seasonal
Other measures E…
Forecast skill (SS):
Business forecasters and practitioners sometimes use different terminology. They refer to
the PMAD as the MAPE, although they compute this as a volume weighted MAPE.[25] For more
information see Calculating demand forecast accuracy.
When comparing the accuracy of different forecasting methods on a specific data set, the
measures of aggregate error are compared with each other and the method that yields
the lowest error is preferred.
Training and test sets E…
When evaluating the quality of forecasts, it is invalid to look at how well a model fits the
historical data; the accuracy of forecasts can only be determined by considering how well
a model performs on new data that were not used when fitting the model. When choosing
models, it is common to use a portion of the available data for fitting, and use the rest of
the data for testing the model, as was done in the above examples.[26]
Cross-validation E…
Cross-validation is a more sophisticated version of training a test set.
For cross-sectional data, one approach to cross-validation works as follows:
1. Select observation i for the test set, and use the remaining observations in the training
set. Compute the error on the test observation.
2. Repeat the above step for i = 1,2,..., N where N is the total number of observations.
3. Compute the forecast accuracy measures based on the errors obtained.
This makes efficient use of the available data, as only one observation is omitted at each
step
For time series data, the training set can only include observations prior to the test set.
Therefore, no future observations can be used in constructing the forecast. Suppose k
observations are needed to produce a reliable forecast; then the process works as
follows:
1. Starting with i=1, select the observation k + i for the test set, and use the
observations at times 1, 2, ..., k+i–1 to estimate the forecasting model. Compute the
error on the forecast for k+i.
2. Repeat the above step for i = 2,...,T–k where T is the total number of observations.
3. Compute the forecast accuracy over all errors.
This procedure is sometimes known as a "rolling forecasting origin" because the "origin" (k+i
-1) at which the forecast is based rolls forward in time.[27] Further, two-step-ahead or in
general p-step-ahead forecasts can be computed by first forecasting the value immediately
after the training set, then using this value with the training set values to forecast two
periods ahead, etc.
See also
Calculating demand forecast accuracy
Consensus forecasts
Forecast error
Predictability
Prediction intervals, similar to confidence intervals
Reference class forecasting
Seasonality and cyclic behaviour
Seasonality E…
Seasonality is a characteristic of a time series in which the data experiences regular and
predictable changes which recur every calendar year. Any predictable change or pattern
in a time series that recurs or repeats over a one-year period can be said to be seasonal. It
is common in many situations – such as grocery store[28] or even in a Medical Examiner's
office[29]—that the demand depends on the day of the week. In such situations, the
forecasting procedure calculates the seasonal index of the “season” – seven seasons, one
for each day – which is the ratio of the average demand of that season (which is calculated
by Moving Average or Exponential Smoothing using historical data corresponding only to
that season) to the average demand across all seasons. An index higher than 1 indicates
that demand is higher than average; an index less than 1 indicates that the demand is less
than the average.
Cyclic behaviour E…
The cyclic behaviour of data takes place when there are regular fluctuations in the data
which usually last for an interval of at least two years, and when the length of the
current cycle cannot be predetermined. Cyclic behavior is not to be confused with
seasonal behavior. Seasonal fluctuations follow a consistent pattern each year so the
period is always known. As an example, during the Christmas period, inventories of stores
tend to increase in order to prepare for Christmas shoppers. As an example of cyclic
behaviour, the population of a particular natural ecosystem will exhibit cyclic behaviour
when the population decreases as its natural food source decreases, and once the
population is low, the food source will recover and the population will start to increase
again. Cyclic data cannot be accounted for using ordinary seasonal adjustment since it is
not of fixed period.
Limitations
Limitations pose barriers beyond which forecasting methods cannot reliably predict. There
are many events and values that cannot be forecast reliably. Events such as the roll of a
die or the results of the lottery cannot be forecast because they are random events and
there is no significant relationship in the data. When the factors that lead to what is being
forecast are not known or well understood such as in stock and foreign exchange markets
forecasts are often inaccurate or wrong as there is not enough data about everything
that affects these markets for the forecasts to be reliable, in addition the outcomes of
the forecasts of these markets change the behavior of those involved in the market
further reducing forecast accuracy.[4]
The concept of "self-destructing predictions" concerns the way in which some predictions
can undermine themselves by influencing social behavior.[30] This is because "predictors are
part of the social context about which they are trying to make a prediction and may
influence that context in the process".[30] For example, a forecast that a large percentage
of a population will become HIV infected based on existing trends may cause more people to
avoid risky behavior and thus reduce the HIV infection rate, invalidating the forecast
(which might have remained correct if it had not been publicly known). Or, a prediction that
cybersecurity will become a major issue may cause organizations to implement more
security cybersecurity measures, thus limiting the issue.
Performance limits of fluid dynamics equations E…
As proposed by Edward Lorenz in 1963, long range weather forecasts, those made at a
range of two weeks or more, are impossible to definitively predict the state of the
atmosphere, owing to the chaotic nature of the fluid dynamics equations involved.
Extremely small errors in the initial input, such as temperatures and winds, within
numerical models double every five days.[31]
See also
Accelerating change
Cash flow forecasting
Cliodynamics
Collaborative planning, forecasting, and replenishment
Earthquake prediction
Energy forecasting
Financial forecast
Forecasting bias
Foresight (future studies)
Frequency spectrum
Futures studies
Futurology
Kondratiev wave
Least squares
Least-squares spectral analysis
Optimism bias
Planning
Prediction
Predictive analytics
Risk management
Scenario planning
Spending wave
Strategic foresight
Technology forecasting
Thucydides Trap
Time series
Weather forecasting
Wind power forecasting
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Hyndman, Rob J.; Koehler, Anne B. (October–December 2006). "Another look at measures of
forecast accuracy" (http://www.robjhyndman.com/papers/mase.pdf) (PDF). International
Journal of Forecasting. 22 (4): 679–688. CiteSeerX 10.1.1.154.9771 (https://citeseerx.ist.psu.e
du/viewdoc/summary?doi=10.1.1.154.9771) . doi:10.1016/j.ijforecast.2006.03.001 (https://doi.
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Makridakis, Spyros; Wheelwrigt, Steven; Hyndman, Rob J. (1998). Forecasting: Methods and
Applications. John Wiley & Sons. ISBN 978-0-471-53233-0.
Malakooti, Behnam (February 2014). Operations and Production Systems with Multiple
Objectives. John Wiley & Sons. ISBN 978-0-470-03732-4.
Kaligasidis, Angela Sasic; Taesler, Roger; Andersson, Cari; Nord, Margitta (August 2006).
"Upgraded weather forecast control of building heating systems". In Fazio, Paul (ed.).
Research in Building Physics and Building Engineering. Taylor & Francis, CRC Press. pp. 951–
958. ISBN 978-0-415-41675-7.
Kress, George J.; Snyder, John (May 1994). Forecasting and Market Analysis Techniques: A
Practical Approach. Quorum Books. ISBN 978-0-89930-835-7.
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Taesler, Roger (1991). "Climate and Building Energy Management". Energy and Buildings. 15
(1–2): 599–608. doi:10.1016/0378-7788(91)90028-2 (https://doi.org/10.1016%2F0378-7788%
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External links
Look up predict in Wiktionary, the free dictionary.
Look up forecast in Wiktionary, the free dictionary.
Media related to Prediction at Wikimedia Commons
Forecasting Principles: "Evidence-based forecasting" (http://www.forecastingprinciples.co
m)
International Institute of Forecasters (http://www.forecasters.org)
Introduction to Time series Analysis (Engineering Statistics Handbook) (http://www.itl.nist.
gov/div898/handbook/pmc/section4/pmc4.htm) - A practical guide to Time series analysis
and forecasting
Time Series Analysis (http://www.statsoft.com/textbook/sttimser.html)
Global Forecasting with IFs (http://www.ifs.du.edu)
Earthquake Electromagnetic Precursor Research (http://www.quakefinder.com)
Forecasting Science and Theory of Forecasting (http://www.okanduru.com/forecast.htm)
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