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Rolling Simulations in Forecast Studio

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Frequent Contributor
Posts: 75
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Rolling Simulations in Forecast Studio

Hello,

In Forecast Studio there is a facility called rolling simulations. Is there any SAS paper (e.g. white paper or better any SAS Global Forum paper) that describes this facility? If such a paper does not exist can you propose any web site that describes the theory behind this facility? I have tried to find something about it in a several forecasting academic books wihtout any lack.

Thanks in advance for your help,

Andreas 


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‎05-02-2013 11:26 AM
SAS Employee
Posts: 416

Re: Rolling Simulations in Forecast Studio

Hello -

There is a conference paper on rolling simulations which was not published yet - I will send it to you directly.

Thanks,

Udo

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SAS Employee
Posts: 8

Re: Rolling Simulations in Forecast Studio

Hi Andreas,

The Forecast Studio User's Guide contains some information. For version 12.1 you can find it on p. 237-238. The picture below is taken from the User's Guide.

Zaras Rolling Simulations.png

The image above shows the results of a rolling simulation where the number of out-of-sample observations is 6. When back=6, 6 out-of-sample forecasts are generated using the model that was identified as the best model for this particular time series. When back=5, 5 out out sample forecasts are generated etc. These are the numbers shown in bold in the table. If you press the "Simulations Statistics" tab, various fit statistics are presented based on the out-of-sample forecasts that are calculated.

Does this help?

Cheers,

Snurre

Frequent Contributor
Posts: 75

Re: Rolling Simulations in Forecast Studio

Hello Snurre,

Thnaks for your answer. Sure it helps but i need something detailed about the theory behind it and the potential benefits of doing such an analysis. So i was wondering if there are any relevant papers for SAS or somewhere else where the rolling simulations methodlogy is described in detail.

Thanks again,

Andreas

Solution
‎05-02-2013 11:26 AM
SAS Employee
Posts: 416

Re: Rolling Simulations in Forecast Studio

Hello -

There is a conference paper on rolling simulations which was not published yet - I will send it to you directly.

Thanks,

Udo

Frequent Contributor
Posts: 75

Re: Rolling Simulations in Forecast Studio

Thank you very much!

Occasional Contributor
Posts: 8

Re: Rolling Simulations in Forecast Studio

Hi Udo,

I am also looking for a good literature on SAS Forecast Studio.

Can you please share a copy of that paper on Rolling Simulation with me (vikas10s@gmail.com) as well.

Thanks very much in advance.

Regards

DrSharma

SAS Employee
Posts: 416

Re: Rolling Simulations in Forecast Studio

Hello -

We will present a paper on rolling simulations at SAS Global Forum 2014 - the paper will be available in the conference proceedings.

Thanks,

Udo

SAS Employee
Posts: 416

Re: Rolling Simulations in Forecast Studio

Hello -

Adding link to the rolling simulation paper to this thread: http://support.sas.com/resources/papers/proceedings14/SAS213-2014.pdf

Thanks,

Udo

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