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System and method for large-scale automatic forecasting

  • US 20030200134A1
  • Filed: 03/28/2003
  • Published: 10/23/2003
  • Est. Priority Date: 03/29/2002
  • Status: Abandoned Application
First Claim
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1. A computer-implemented method for automatically selecting forecasting models, comprising the steps of:

  • receiving a pool of forecasting models, wherein the forecasting models in the pool have at least one pre-identified model characteristic;

    receiving time series data indicative of transactional activity;

    determining at least one statistical characteristic of the time series data;

    comparing the determined statistical characteristic of the time series data with the pre-identified model characteristic of the forecasting models in the pool to identify candidate forecasting models;

    determining a data subset from the time series data and a hold-out sample from the time series data;

    optimizing at least one parameter of the candidate forecasting models using the time series data subset;

    calculating statistics-of-fit for the candidate forecasting models using the hold-out sample; and

    selecting at least one of the candidate forecasting models based upon the calculated statistics-of-fit of the candidate forecasting models.

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