Question about ARIMA forecast

[hessinemaaoui]

Hi,
  I am a newer of SuanShuers and I want to use ARIMA model in SuanShu to forecast next value of time series just like last topic “ARIMA forecast”. After reading the reply of last topic, I have a try using my own data and the codes are listed below. However, some new questions appear.

My Data:

1.5959709882736206 <br /> 0.7300914525985718 <br /> 2.0011744499206543 <br /> 3.6755871772766113 <br /> 0.8066112399101257 <br /> 1.3413848876953125 <br /> 3.371157646179199 <br /> 0.4400146007537842 <br /> 2.637667655944824 <br /> 2.1453769207000732 <br /> 2.341433048248291 <br /> 2.3429665565490723 <br /> 1.1187453269958496 <br /> 1.4169363975524902 <br /> 3.328829050064087 <br /> 4.157748699188232 <br /> 3.9255290031433105 <br /> 2.7843635082244873

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1.5959709882736206 <br /> 0.7300914525985718 <br /> 2.0011744499206543 <br /> 3.6755871772766113 <br /> 0.8066112399101257 <br /> 1.3413848876953125 <br /> 3.371157646179199 <br /> 0.4400146007537842 <br /> 2.637667655944824 <br /> 2.1453769207000732 <br /> 2.341433048248291 <br /> 2.3429665565490723 <br /> 1.1187453269958496 <br /> 1.4169363975524902 <br /> 3.328829050064087 <br /> 4.157748699188232 <br /> 3.9255290031433105 <br /> 2.7843635082244873

Source Code:

 

try{<br /> //read time series from file to ArrayList<br /> BufferedReader br = new BufferedReader(new FileReader("arimademo.txt"));<br /> String line = null;<br /> ArrayList arr = new ArrayList();<br /> while((line = br.readLine()) != null){<br /> arr.add(Double.valueOf(line));<br /> }<br /> //get the last value<br /> double last = arr.get(arr.size()-1);<br /> //remove last value<br /> arr.remove(arr.size()-1);<br /> //new a double array<br /> double[] series = new double[arr.size()];<br /> for(int i = 0; i &lt; arr.size(); i++){<br /> series<i> = arr.get(i);<br /> }<br /> //build ARIMA model and then forecast next value<br /> ConditionalSumOfSquares instance = new ConditionalSumOfSquares(series, 1, 1, 1);<br /> ARIMAModel arima = instance.getModel();<br /> ARIMAForecastMultiStep forecast = new ARIMAForecastMultiStep(new SimpleTimeSeries(series), arima, 1);<br /> System.out.println("prediction = "+forecast.xHat());<br /> System.out.println("error = "+forecast.var());<br /> System.out.println("real = "+last);<br /> br.close();<br /> }catch(Exception e){<br /> e.printStackTrace();<br /> }</i>

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try{<br /> //read time series from file to ArrayList<br /> BufferedReader br = new BufferedReader(new FileReader("arimademo.txt"));<br /> String line = null;<br /> ArrayList arr = new ArrayList();<br /> while((line = br.readLine()) != null){<br /> arr.add(Double.valueOf(line));<br /> }<br /> //get the last value<br /> double last = arr.get(arr.size()-1);<br /> //remove last value<br /> arr.remove(arr.size()-1);<br /> //new a double array<br /> double[] series = new double[arr.size()];<br /> for(int i = 0; i &lt; arr.size(); i++){<br /> series<i> = arr.get(i);<br /> }<br /> //build ARIMA model and then forecast next value<br /> ConditionalSumOfSquares instance = new ConditionalSumOfSquares(series, 1, 1, 1);<br /> ARIMAModel arima = instance.getModel();<br /> ARIMAForecastMultiStep forecast = new ARIMAForecastMultiStep(new SimpleTimeSeries(series), arima, 1);<br /> System.out.println("prediction = "+forecast.xHat());<br /> System.out.println("error = "+forecast.var());<br /> System.out.println("real = "+last);<br /> br.close();<br /> }catch(Exception e){<br /> e.printStackTrace();<br /> }</i>

and the output is:

prediction = 4.246483542430577<br /> error = 0.603935593121584<br /> real = 2.7843635082244873

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prediction = 4.246483542430577<br /> error = 0.603935593121584<br /> real = 2.7843635082244873

My questions are:
  1. the forecast accuracy is too low, prediction value is 4.246 but real value is 2.78
  2. how to determine p,d,q automatically?
  3. why error != |real-prediction|?

Thanks for your kindly attention and Waitng for your help.

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