I would like to ask for help in how to use the new Mathematica 9 time series functions to make some sales forecast.

For example, for one of our stores, I have this data set with 35 points, from January 2010 to November 2012 with sales in

salesData = {5.14, 5.32, 6.04, 5.84, 6.09, 6.03, 5.79, 6.26, 5.91, 6.44, 6.54, 7.76, 6.24, 6.19, 6.37, 6.72, 6.72, 6.52, 6.64, 6.96, 6.51, 7.03, 6.79, 8.11, 6.82, 6.96, 7.85, 7.68, 7.80, 7.80, 7.80, 8.22, 8.19, 8.67, 8.29}

If I plot it with DateListPlot as below:

            ,Joined-> True
            ,PlotLabel->Style["Sales Chart",18,Bold,Blue]

I get:

Sales Graphic

My question is:

How do I use SARIMAProcess, TemporalData and TimeSeriesForecast to get the forecast and the prediction band with some confidence interval as in this picture?

Sales Forecast

In this case, the series shows seasonality by year and this is the reason I know that the S in (S)ARIMA is necessary.

I'm new to time series, so if possible, I would like to have didactical answer. I am vague on the meaning of the SARIMA coefficients and how to determine them.

  • $\begingroup$ Are you missing comma between between -3 and -4 elements in salesData ? $\endgroup$ – Vitaliy Kaurov Dec 16 '12 at 3:05
  • $\begingroup$ This is not my area of expertise but I do have some interest in this for something I plan to work on next year. I don't have 9 installed though. Have you tried mimicking the Lake Mead example in the docs? $\endgroup$ – Mike Honeychurch Dec 16 '12 at 3:12
  • $\begingroup$ BTW does anyone know how the seasonal function(s) in Mma compare to the US Census Bureau X-12-ARIMA seasonal adjustment software -- which seems to be very commonly used, if not the standard for seasonal adjusting. $\endgroup$ – Mike Honeychurch Dec 16 '12 at 3:13
  • $\begingroup$ @VitaliyKaurov tks, list corrected. $\endgroup$ – Murta Dec 16 '12 at 3:28
  • $\begingroup$ @MikeHoneychurch Yes! But I don't know from where come the model part SARIMAProcess[{.8}, 0, {-.4}, {12, {.2}, 1, {.3}}, 4.12]. $\endgroup$ – Murta Dec 16 '12 at 3:29

After some study, I think that I found out how to answer it using:

data = TemporalData[salesData,{{2010,1},{2012,11},"Month"}];
forecast=TimeSeriesForecast[proc, data,{14}];

    ,Joined-> True
    ,PlotStyle -> Thick


For the error band I used:

bound=Sqrt[Last[proc]] Sqrt[errors["PathStates",1]] Quantile[NormalDistribution[],1-1/2 (1-.95)];

    ,Joined-> True

Forecast with Bands

Now I have just to understand better the meaning of the SARIMAProcess terms. Why I use SARIMAProcess[{},1,{},{12,{a},1,{b}},v] instead of SARIMAProcess[{p},1,{q},{12,{a},1,{b}},v] or something else, I still don't know. But it's a Math problem, not a Mathematica one.

  • $\begingroup$ Someone know how to easily put date ticks with month and year as the original? I have some difficult. $\endgroup$ – Murta Dec 18 '12 at 2:02
  • $\begingroup$ it looks like your temporal data has no times! Consider news = {DateList[{2010, #, 0, 0, 0, 0}], salesData[[#]]} & /@ Range[Length@salesData]; newt = TemporalData[news] DateListPlot[newt["Paths"]] $\endgroup$ – dwa Dec 18 '12 at 2:25
  • $\begingroup$ @dwa Tks! Corrected. $\endgroup$ – Murta Dec 18 '12 at 14:52
  • $\begingroup$ SPSS 'Expert Modeler' gives Holt model as the best model with your data. The stationary R ^2 Value was 0.837 However I have no idea about using Holt model in Mathematica $\endgroup$ – rselva Dec 21 '12 at 8:26
  • $\begingroup$ @rselva tks. I'm still studying how to perform it on Mathematica. :) $\endgroup$ – Murta Dec 21 '12 at 8:32

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