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Saturday, October 28, 2006 

Time Series Revisited

I have been asked a couple of times for a script that would reproduce the results in the time series forecasting series. I finally managed to do it. In the process I found out that a couple of the queries needed to be tuned:

  • In the airline example described in Part 2, the normalization shift and scale parameters were computed using the whole data. A better methodology would be to use only the training data for computing these parameters. This alternative normalization scheme also impacts the results for the airline example described in Part 3 as the latter builds on the transformations described on Part 2
  • The results for the electric load example in Part 3 did not reflect the forecasting query. They reflected an earlier version of the query. The correct results are a little better
I collected the different steps for both examples in Part 3 into a single script: code_ts_script.sql. The data for the airline and electric load examples can be downloaded from here: data_airline.cvs and data_electric_load.cvs.

I have also made some edits to the Part 2 and Part 3 posts to reflect the points described above.

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I really like your time series article. It would be better more that some one should take the lead in providing good examples on forecasting and data mining, specially taking real time problems.

Thanks Adil. I tried to provide some examples on real data in the third post in the series (link). The second example, specially, comes from a competition. If you have any interesting examples you would like to share I would happy to write a post on it.

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  • Marcos M. Campos: Development Manager for Oracle Data Mining Technologies. Previously Senior Scientist with Thinking Machines. Over the years I have been working on transforming databases into easy to use analytical servers.
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