Statistical Analysis Stack Exchange
Statistical Analysis Stack Exchange

Questions tagged [unobserved-components-model]

UCM decomposes an observed time series into unobserved trend, seasonal, cyclical, and idiosyncratic components and allows for exogenous variables

Unobserved components model (UCM) decomposes an observed time series into unobserved trend, seasonal, cyclical, and idiosyncratic components and allows for exogenous variables. UCM is an alternative to ARIMA models and provides a flexible and formal approach to smoothing and decomposition problems.

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Performance evaluation of auto.arima in R and UCM on one dataset

I started evaluating and comparing some methods in forecasting. I used Price of dozen eggs in US, 1900–1993, in constant dollars in the R software FMA package. I held out the last 10 years for assessment of forecast. Below are the results: I used…
forecaster
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High-Frequency Time-Series Forecast With A Lower Bound

I am helping a friend with a data project. He's interested in building a canary-in-the-coal-mine alert system for his website which tells him when the number of users dips below some critical lower bound. The number of users varies by time of day,…
dimitriy
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Parameter dimensionality reduction in a Kalman filter framework

My problem is related to parameter identification with maximum likelihood in a Kalman filter. This framework consists of a multivariate set-up, wherein the unobserved components of the initial variable are linked to the unobservables in other…
Memek
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Predicting a time-series based on level, season, and cycle

I have time-series data for stock price. A sample of dataset is given below: DATE STOCK_PRICE 1/7/2012 26 1/8/2012 31 1/9/2012 28 1/10/2012 38 1/11/2012 36 1/12/2012 20 1/13/2012 23 1/14/2012 23 1/15/2012 1.1 1/16/2012 …
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Daily data forecast: How to specify day of week and month of the year seasonality in SAS

I have daily data for 2 years starting from jan1 2014 till december 31 2015. I want to forecast for next 365 days using this data set. I am using below code. PROC UCM data=Mydata; …
StatguyUser
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Time Series Decomposition - autocorrelation of error term

I would like to do time series decomposition, but the error term has a serial autocorrelation at the end and I am freaking out because I have really no idea what to do with that. How I did it? I tried to use ucm command in Stata but I faced a lot…
kathy kinga
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Sensible Transformations of Economic Indices like CFNAI and ADSBCI in Time Series Analysis

I am trying to fit an unobserved components model for revenue and transactions for a firm where I also use some exogenous variables that capture economic conditions. The UCM decomposes a time series into trend, seasonality, an idiosyncratic…
dimitriy
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How to convert/decompose SARMA model to Unobserved Component Model (UCM) to extract seasonal component?

Often in my work I need to remove seasonality from a time series to see underlying trends/cycles. Usually the seasonality is removed using UCM, estimated by some method. However, we often also fit SARMA to the series for forecasting purpose. For…
Dayne
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After making an adjustment to the forecast, should I also adjust the prediction interval (& how)?

I want this to be a general question as it may help others in the future but I will give the specifics of what I'm doing. I am producing forecasts for many time series with different models. It is akin to using the automatic functionality of R…
Chris Umphlett
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How does Unobserved Components Model work ? What exactly does it do after decomposing the time series in components?

I was working on Unobserved Components Model in R but found that the content in the help section of R is not very elaborate.Maybe it's not completely updated yet. The Nile dataset example online also does not get a lot into how the model works. I…
Ashutosh Kumar
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Understanding how seasonal terms are calculated in unobserved components model (statsmodels)- python

Context I am running an unobservedcomponents model from statsmodel api in python The data is daily in nature , and these are the parameters I have set for my model: I have a day of week pattern in the data which is why the seasonal term is set to…
Roopanjali Jasrotia
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When will a non-lagged regression term, in a forecasting algorithm, outperform an algorithm that doesn't require the regression term?

I am struggling to understand when a regression variable that is non-lagged would be beneficial to a forecasting algorithm. I have been investigating the unobserved component model algorithm. I am finding that even when the non-lagged regression…
narnia649
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Exporting the UCM Model Prediction in CSV

My problem is extremely simple. But due to lack of proper documentation, I'm getting stuck. I'm using UCM from statsmodel of python. I'm trying this example. I want to create a dataset that has actual series, predicted series, level, trend and…
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Is Box-Jenkins approach to time-series prediction and forecasting similar to Unobserved Components models approach?

How I understand the Box-Jenkins Method in a nut-shell is that a time-series model has signals that can be identified by weighting its own past lagged values, or weighting its owned past errors or some combination of the two processes. If sequential…
WON_Eric
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Time Series Data Unobserved Components Model

I am using the Unobserved Components Model to decompose metal price data in Stata. i am using a model with three terms trend, cycle and irregular. I specif the model below: ucm copper, model(strend) cycle(1, frequency(1.5)) cycle(2,…
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