Take the 2-minute tour ×
Mathematica Stack Exchange is a question and answer site for users of Mathematica. It's 100% free, no registration required.

I am trying to make sure I understand how TimeSeriesForecast works. I apologize in advance for the basic nature of this question. I am using Mathematica 10.

I create a TimeSeries in a stock like GE, containing O/H/L/C prices and from there estimate a vector autoregression (ARMA) model using some in-sample data. I now want to produce 1-step ahead forecasts, period by period, for the out of sample data. The code I have listed below does this and produces the results as shown.

I want to make 100% sure that the forecast produced for period n are the forecast OHLC prices for period n, and not the forecast prices produced at period n for period n+1. So below, is the first set of forecast prices the forecast for period 8325, or the forecasts produced in period 8325 for period 8326?

Whats confusing me is the with ISend = 8325, I get:

GE["Path"][[ISend + 1]]    
(* {8325, {20.4819, 20.5104, 20.1867, 20.32}} *)

i.e it seems that the TimeSeries variable GE somehow "lags" by 1 period.

Forecasting code

ISend    
(* 8325 *)

n = 1;

forecasts = 
  Flatten[Table[
    TimeSeriesForecast[eproc, 
      TimeSeriesWindow[GE, {ISend - 3 + i, ISend - 2 + i}], {n}, 
      Method -> "Covariance"]["Path"], {i, 1, 386}], 1];

Take[forecasts, 5]

(* {{8325, {19.8498, 19.8257, 19.3094, 
   19.6899}}, {8326, {20.711, 20.7849, 20.3424, 
   21.2416}}, {8327, {20.142, 20.4853, 20.1133, 
   20.2042}}, {8328, {20.1565, 20.2824, 20.009, 
   20.0737}}, {8329, {20.0761, 20.1621, 19.96, 20.0177}}} *)
share|improve this question
    
I too am interested in the new time series functionality in version 10. Can you provide a data set so we can work with the same data ? –  Steve Jul 19 at 20:45

Your Answer

 
discard

By posting your answer, you agree to the privacy policy and terms of service.

Browse other questions tagged or ask your own question.