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(P,Q) order limitation in Forecast Studio

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New Contributor
Posts: 3

(P,Q) order limitation in Forecast Studio

Hello,

I'm using FS to forecast demand of energy. I've got a few questions... Can anybody help me?

  • The final models present "high" p and q values (for example greater than 2)... Is it possible to limit this values? What's the best way to do it?
  • I've also seen the p-values of the final models and thy're also "high". Is it possible to select the "best" model considering a specified cut-off p-value?

Thank you very much

Javier

Super User
Posts: 10,500

Re: (P,Q) order limitation in Forecast Studio

Are you saying you have a p-value greater than 2?! P-values should have a range of 0-1.

And for "high" p-value do you mean 0.8999 or 0.0001?

And "best" really should be considered in light of other items than just p-value. Suppose the cost of implementing model A with an associated p-value of 0.015 was half that of Model B with a p-value of 0.013. Model B may be "more significant" (not really and I don't want to get into that discussion again...) but in a decision making mode I suspect that Model A would often be the "better" model for practical purposes.

New Contributor
Posts: 3

Re: (P,Q) order limitation in Forecast Studio

No¡, of course i know which is the p-value range... I refer to the possibility of controlling the maximum order of the AR ( p & P) and MA ( q &Q ) parameters in SAS Forecast studio .

In reference to the other issue I found ARIMA models, select FS as champions , with non-significant parameters ( ie> 0.05 ) AR / MA and input variables ... i need to select statistically valid models, this concerns me as I want to automate the forecast process

SAS Employee
Posts: 416

Re: (P,Q) order limitation in Forecast Studio

Hello -

This thread might be of interest: https://communities.sas.com/message/196164#196164

Thanks,

Udo

New Contributor
Posts: 3

Re: (P,Q) order limitation in Forecast Studio

Thank you Udo ,

TBC, Sas FS does NOT allow :

  • limit Pand Q orders.
  • Select only final models with all significative parameters,... to do this, could I usethe option "Refine parameters".The user guide is not very clear.Could someone especify exactly what exactlymakesthis option?

FS_Prop.png

Thanks in advance¡

Javier

SAS Employee
Posts: 416

Re: (P,Q) order limitation in Forecast Studio

Hello -

This option controls the "SIGLEVEL" option of the ARIMA statement in the HPFDIAGNOSE procedure. It specifies the significance level to use as a cutoff value to decide the AR and MA orders. More details about this process can be found in SAS Forecast Server Procedures User’s Guide: check out the details section of chapter 5: the HPFDIAGNOSE procedure.

Thanks,

Udo

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