Lorenzo Isella
2016-Jan-12 16:16 UTC
[R] Forecasting with Timeseries with Different Frequency
Dear All, Suppose you have some time series, e.g. monthly data about profits in a company. I am trying to develop a model to predict what the profit will be the next month or two. Other useful data is for sure the number of employes in the company, the volume of product purchases etc...but they are available at best on a quarterly basis. I am sure I am not the first one that has this problem: I would like *not* to neglect this auxiliary info, but I am sure about how to proceed with monthly and quarterly data. Any suggestion is appreciated. Lorenzo
Berend Hasselman
2016-Jan-12 18:03 UTC
[R] Forecasting with Timeseries with Different Frequency
Have a look at the midasr package available on CRAN. It might provide what you need. Berend> On 12 Jan 2016, at 17:16, Lorenzo Isella <lorenzo.isella at gmail.com> wrote: > > Dear All, > Suppose you have some time series, e.g. monthly data about > profits in a company. > I am trying to develop a model to predict what the profit will be the > next month or two. > Other useful data is for sure the number of employes in the company, > the volume of product purchases etc...but they are available at best > on a quarterly basis. > I am sure I am not the first one that has this problem: I would like > *not* to neglect this auxiliary info, but I am sure about how to > proceed with monthly and quarterly data. > Any suggestion is appreciated. > > Lorenzo > > ______________________________________________ > R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see > stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code.
Bert Gunter
2016-Jan-12 18:26 UTC
[R] Forecasting with Timeseries with Different Frequency
A statistics, not an R question, and hence OT here. However, look at the CRAN Time Series Task View and/or post on a statistics site like stats.stackexchange.com Cheers, Bert Bert Gunter "The trouble with having an open mind is that people keep coming along and sticking things into it." -- Opus (aka Berkeley Breathed in his "Bloom County" comic strip ) On Tue, Jan 12, 2016 at 8:16 AM, Lorenzo Isella <lorenzo.isella at gmail.com> wrote:> Dear All, > Suppose you have some time series, e.g. monthly data about > profits in a company. > I am trying to develop a model to predict what the profit will be the > next month or two. > Other useful data is for sure the number of employes in the company, > the volume of product purchases etc...but they are available at best > on a quarterly basis. > I am sure I am not the first one that has this problem: I would like > *not* to neglect this auxiliary info, but I am sure about how to > proceed with monthly and quarterly data. > Any suggestion is appreciated. > > Lorenzo > > ______________________________________________ > R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see > stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code.