Turn on suggestions

Auto-suggest helps you quickly narrow down your search results by suggesting possible matches as you type.

Showing results for

- Home
- /
- Analytics
- /
- Forecasting
- /
- Re: Help on transfering parameter estimation to math expression

Options

- RSS Feed
- Mark Topic as New
- Mark Topic as Read
- Float this Topic for Current User
- Bookmark
- Subscribe
- Mute
- Printer Friendly Page

- Mark as New
- Bookmark
- Subscribe
- Mute
- RSS Feed
- Permalink
- Report Inappropriate Content

Posted 07-08-2015 11:08 AM
(2186 views)

I am first time SAS forcast studio user, and wondering if anyone in the community can help me understand how to transfer the parameter eatimation of a model to a math expression( the actuall formula).

Here is the estimation I got from SAS:

Component | Parameter | Estimate | Standard Error | t Value | Approx Pr > |t| |

CS | MA1_1 | 0.32743 | 0.06042 | 5.42 | <.0001 |

CS | MA1_2 | 0.08164 | 0.06408 | 1.27 | 0.2038 |

CS | MA1_3 | 0.28965 | 0.0608 | 4.76 | <.0001 |

JP | SCALE | 0.71904 | 0.01027 | 69.98 | <.0001 |

JP | DEN1_1 | 0.03581 | 0.01478 | 2.42 | 0.0161 |

JP | DEN1_2 | 0.03784 | 0.01463 | 2.59 | 0.0103 |

CS is my dependent variable and JP is my independent variable.

Thanks!

14 REPLIES 14

- Mark as New
- Bookmark
- Subscribe
- Mute
- RSS Feed
- Permalink
- Report Inappropriate Content

- Mark as New
- Bookmark
- Subscribe
- Mute
- RSS Feed
- Permalink
- Report Inappropriate Content

Hi Ballardw

Thanks for the reply. It is an ARIMA model.

here is the SAS code.

Proc HPFARIMASPEC

* Model: SUBSETARIMA

* Label: CS = D=(1) Q=( 1 2 3 ) NOINT + JP : D=(1) DEN=( 1 2 )

*/

MODELREPOSITORY = work.temp

SPECNAME=LEAF_1

SPECLABEL="ARIMA: CS ~ D = (1) Q = 3 NOINT + INPUT: Dif(1) JP DEN = 2"

SPECTYPE=SUBSETARIMA

SPECSOURCE=FSUI

;

FORECAST SYMBOL = CS TRANSFORM = NONE

NOINT

DIF = ( 1 )

Q = ( 1 2 3 ) ;

INPUT SYMBOL = JP

TRANSFORM = NONE

DIF = ( 1 )

DEN = ( 1 2 );

ESTIMATE

METHOD=CLS

CONVERGE=0.0010

MAXITER=50

DELTA=0.0010

SINGULAR=1.0E-7 ;

run;

- Mark as New
- Bookmark
- Subscribe
- Mute
- RSS Feed
- Permalink
- Report Inappropriate Content

Hello Tony,

I am not sure what you mean by an expression (or a math formula). The estimated model is an ARIMA transfer function model. These models are discussed in many time series analysis books, e.g. a book by Box and Jenkins, also see the ARIMA doc (and its references): SAS/ETS(R) 13.2 User's Guide

In any event, the specified model can be described as follows:

Let JP1 denote the first difference of JP, e_t denote the error at time t, and B denote the backward shift operator. The model is:

CS_t = CS_(t-1) + [ 0.71904 /(1 - 0.03581B - 0.03784B^2)] JP1_t + e_t - 0.32743 e_(t-1) - 0.08164 e_(t-2) - 0.28965 e_(t-2)

This is not a formula for computing the forecasts of CS. It is just a description of the model with estimated parameters.

Rajesh

- Mark as New
- Bookmark
- Subscribe
- Mute
- RSS Feed
- Permalink
- Report Inappropriate Content

Hi rselukar,

This is excatly what I need! Thanks!

- Mark as New
- Bookmark
- Subscribe
- Mute
- RSS Feed
- Permalink
- Report Inappropriate Content

- Mark as New
- Bookmark
- Subscribe
- Mute
- RSS Feed
- Permalink
- Report Inappropriate Content

- Mark as New
- Bookmark
- Subscribe
- Mute
- RSS Feed
- Permalink
- Report Inappropriate Content

Hello -

Alternatively you should be able to use the scenario analysis feature in SAS Forecast Studio.

Thanks,

Udo

- Mark as New
- Bookmark
- Subscribe
- Mute
- RSS Feed
- Permalink
- Report Inappropriate Content

Hi Udo,

Can you give me some details of how to do it in scenario analysis? From what I know, I can manully put in some value for my independent variable, and SAS will produce the new predicted value base on the input. However, it is different in my case.

I know how much,and what is the probability JP_t will go up or down if I know the CS_t-1. The probability of JP going upward or downward is actually base on the previous CS value, if CS is big, then the probability of JP going downward increase, and vice versa. I have the probabilty formula for JP already.

Ultimately, I want to run a simulation to predict how many time my JP will go up or down in a certain period in the future.

Is it that possible in scenatio analysis?

Thanks

- Mark as New
- Bookmark
- Subscribe
- Mute
- RSS Feed
- Permalink
- Report Inappropriate Content

Hello -

This is not possible using SAS Forecast Studio currently.

Thanks,

Udo

- Mark as New
- Bookmark
- Subscribe
- Mute
- RSS Feed
- Permalink
- Report Inappropriate Content

Hi Udo,

Is there any other SAS software can do that?

We have base, enterprise guide, miner, and forecast studio so far.

Thanks

- Mark as New
- Bookmark
- Subscribe
- Mute
- RSS Feed
- Permalink
- Report Inappropriate Content

- Mark as New
- Bookmark
- Subscribe
- Mute
- RSS Feed
- Permalink
- Report Inappropriate Content

Hi rselukar,

I am wondering do you have a link or can you tell me where I can find the documentation for the SCORE statement you mentioned?

Thanks

- Mark as New
- Bookmark
- Subscribe
- Mute
- RSS Feed
- Permalink
- Report Inappropriate Content

- Mark as New
- Bookmark
- Subscribe
- Mute
- RSS Feed
- Permalink
- Report Inappropriate Content

Thanks! Will check it out

**Available on demand!**

Missed SAS Innovate Las Vegas? Watch all the action for free! View the keynotes, general sessions and 22 breakouts on demand.

Multiple Linear Regression in SAS

Learn how to run multiple linear regression models with and without interactions, presented by SAS user Alex Chaplin.

Find more tutorials on the SAS Users YouTube channel.