发明名称 |
SYSTEM AND METHOD FOR BUILDING A TIME SERIES MODEL |
摘要 |
<p>A method and computer system is provided for automatically constructing a time series model for the time series to be forecasted. The constructed model can be either a univariate ARIMA model or a multivariate ARIMA model, depending upon whether predictors, interventions or events are inputted in the system along with the series to be forecasted. The method of constructing a univariate ARIMA model comprises the steps of imputing missing values of the time series inputted; finding the proper transformation for positive time series; determining differencing orders; determining non-seasonal AR and MA orders by pattern detection; building an initial model; estimating and modifying the model iteratively. The method of constructing a multivariate ARIMA model comprises the steps of finding a univariate ARIMA model for the time series to be forecasted by the method of constructing a univariate model; applying the transformation found in the univariate model to all positive time series including the series to be forecasted and predictors; applying differencing orders found in the univariate model to all time series including the series to be forecasted, predictors, interventions and events; deleting selected predictors and further differencing other predictors; building an initial model wherein its disturbance series follows an ARMA model with AR and MA orders found in the univariate model; estimating and modifying the model iteratively.</p> |
申请公布号 |
EP1337913(A1) |
申请公布日期 |
2003.08.27 |
申请号 |
EP20010989932 |
申请日期 |
2001.11.08 |
申请人 |
SPSS INC. |
发明人 |
FANG, DONGPING;TSAY, RUEY, S. |
分类号 |
G06F17/18;G06F17/10;G06F17/17;G06Q10/06;(IPC1-7):G06F7/60 |
主分类号 |
G06F17/18 |
代理机构 |
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代理人 |
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主权项 |
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地址 |
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