This section discusses statistics related to time-series forecasting techniques available in Predictor:
Related terms:
Time series—The original data, expressed as Yt
Fit array—A retrofit of the time series, consisting of one-period-ahead forecasts performed from the data of previous periods; expressed as Ft
Residual array—A set of positive or negative residuals, expressed as rt, and defined as rt = Yt – Ft
RMSE—Root mean square error for forecasting, calculated as described in RMSE, where n is the number of periods for which a fit is available. RMSE depends on the specific forecasting method and technique.
Forecasts—Value projections calculated using the formula for the specific method; they are 1 to k periods ahead, where k is the number of forecasts required
Standard error of forecasts—Used to calculate confidence intervals; see Confidence Intervals