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Posted 06-09-2014 10:32 AM
(2304 views)

I have a forecasting task at hand that has multiple seasonality. As an example, hour of the day, day of the week, week of the month, and month of the year. Is there a SAS forecast procedure that can handle multiple seasonality, I have access to SAS forecast server, SAS /ETS. I tries using Proc UCM but it is very slow.

Thanks for your help, much appreciated

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Hello -

UCM can be slow with hourly data due to the size of the state vector.

Alternatively you may want to break up the problem into several modeling runs - one for each seasonality pattern which you have in mind - and then reconcile these different forecasts of different frequencies using the HPFRECONCILE procedure (assuming you have access to SAS Forecast Server).

Thanks,

Udo

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What is the time interval for your data like daily,monthly, yearly?

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hourly.

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After plotting your hourly data, how do you determine daily, monthly, yearly seasonality?

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Visual inspection and business domain knowledge.

This is common in Call center activity data and electricity demand data. @stat@sas do you know of a procedure in SAS that would address multiple seasonality.

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Hello -

UCM can be slow with hourly data due to the size of the state vector.

Alternatively you may want to break up the problem into several modeling runs - one for each seasonality pattern which you have in mind - and then reconcile these different forecasts of different frequencies using the HPFRECONCILE procedure (assuming you have access to SAS Forecast Server).

Thanks,

Udo

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