STATBEAN Name: TimeSeriesForecast
Purpose: Time Series Forecasting methods using values of a time series. This STATBEAN allows Statgraphics to work as time series forecasting software.
| Name | Type | Description | Possible Values | Default Value |
| arimaAR | int | Order of nonseasonal autoregressive term in an ARIMA model. | 0-4 | 0 |
| arimaD | int | Order of nonseasonal differencing in an ARIMA model. | 0-2 | 0 |
| arimaIncludeConstant | boolean | Whether to include a constant term when estimating ARIMA models. | true,false | true |
| arimaMA | int | Order of nonseasonal moving average term in an ARIMA model. | 0-4 | 0 |
| arimaSAR | int | Order of seasonal autoregressive term in an ARIMA model. | 0-4 | 0 |
| arimaSD | int | Order of seasonal differencing in an ARIMA model. | 0-2 | 0 |
| arimaSMA | int | Order of seasonal moving average term in an ARIMA model. | 0-4 | 0 |
| backforecasting | boolean | Whether to use backforecasting when estimating ARIMA models. | true,false | true |
| confidenceLevel | double | Level of confidence for the prediction and confidence limits, as a percentage. | 0.0001-99.9999 | 95.0 |
| modelType | String | Type of model to use for forecasting. | "Random Walk","Mean","Linear Trend", "Quadratic Trend","Exponential Trend", "SCurve","MA","EWMA", "Linear Smoothing","Quadratic Smoothing", "Holts Smoothing","Winters Smoothing" "ARIMA" |
"Random Walk" |
| movingAverageSpan | int | Number of terms in the MA smoother. | 2+ | 5 |
| numberOfForecasts | int | The number of time periods to forecast. | 1+ | 12 |
| optimize | boolean | Whether to optimize the exponential smoothing parameters. | true,false | true |
| samplingInterval | double | The length of time between consecutive data values. | Any double > 0.0 | 1.0 |
| seasonalLength | int | The number of time periods comprising a season. | 1+ | 1 |
| smoothingParameter1 | double | First parameter for exponential smoothing. | 0-1, exclusive. | 0.1 |
| smoothingParameter2 | double | Second parameter for exponential smoothing. | 0-1, exclusive. | 0.1 |
| smoothingParameter3 | double | Third parameter for exponential smoothing. | 0-1, exclusive. | 0.1 |
| startTime | String | The value of time associated with row 1. | Any string resulting in the proper type of value. | "1.0" |
| timeScale | String | The type of time units. | "Year","Quarter","Month","Day", "Hour","Minute","Second","Other" |
"Other" |
| timeSeriesVariableName | String | The name of the column with data values to be plotted. | Any string. | "" |
| withholdForValidation | int | The number of time periods to withhold from estimation and use for validation statistics. | 0+ | 0 |
| Name | Description | Arguments | Return Value |
| int getArimaDegreesOfFreedom() | Returns the residual degrees of freedom for an ARIMA model. | None. | Degrees of freedom. |
| int getArimaIterations() | Returns the number of iterations used to fit an ARIMA model. | None. | Iterations. |
| double getArimaMeanSquaredError() | Returns the residual mean squared error when fitting an ARIMA model. | None. | MSE. |
| double getArimaParameterEstimate(int i) | Returns the estimate of the i-th parameter in an ARIMA model (in the order AR,MA,SAR,SMA,mean). | Index. | Estimate. |
| double getArimaStandardError(int i) | Returns the standard error of the estimate of the i-th parameter in an ARIMA model. | Index. | Standard error. |
| double getForecastData(int row) | Returns the forecasted values. | Row index (0 origin). | Forecasted value. |
| double getLowerLimit(int row) | Returns the lower confidence limits for the forecasts. | Row index (0 origin). | Lower limit. |
| double getMAE() | Returns the mean absolute error. | None. | Calculated statistic. |
| double getMAPE() | Returns the mean absolute percentage error. | None. | Calculated statistic. |
| double getME() | Returns the mean error. | None. | Calculated statistic. |
| double getMPE() | Returns the mean percentage error. | None. | Calculated statistic. |
| double getMSE() | Returns the mean squared error. | None. | Calculated statistic. |
| double getRMSE() | Returns the root mean squared error. | None. | Calculated statistic. |
| int getNumberOfMissingValuesReplaced() | Returns the number of missing values replaced with estimates. | None. | Number replaced. |
| double getOriginalData(int row) | Returns the original data values. | Row index (0 origin). | Original value. |
| double getResidual(int row) | Returns the one step ahead forecast errors. | Row index (0 origin). | Residual. |
| int getStatisticsSampleSize() | Returns the number of values used to calcualtye the statistics. | None. | Number of data values. |
| double getUpperLimit(int row) | Returns the upper confidence limits for the forecasts. | Row index (0 origin). | Upper limit. |
| double getValidationMAE() | Returns the mean absolute error during the validation period. | None. | Calculated statistic. |
| double getValidationMAPE() | Returns the mean absolute percentage error during the validation period. | None. | Calculated statistic. |
| double getValidationME() | Returns the mean error during the validation period. | None. | Calculated statistic. |
| double getValidationMPE() | Returns the mean percentage error during the validation period. | None. | Calculated statistic. |
| double getValidationMSE() | Returns the mean squared error during the validation period. | None. | Calculated statistic. |
| double getValidationRMSE() | Returns the root mean squared error during the validation period. | None. | Calculated statistic. |
| int getValidationSampleSize() | Returns the number of values used to calcualtye the validation statistics. | None. | Number of data values. |
| Name | Description |
| Residual | One step ahead forecast errors. |
| Forecast | Forecasted data values. |
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