My client is using PA Time Series,
so I need to explain all the details to my clients
Here below are my questions (Sorry, it has lots of questions)
1. In "Data Description" panel, I need to set 1 on "Order" for the date variable.
What is the meaning of "Order"?
2. I guess, Time Series are doing Regression too internally in most cases.
Is Time Series using the same strategy as that of Regression?
That is, for example, is Time Series using criteria like KI + KR >= (some number) by default?
And also, is Time Series doing the same steps to get maximum smart variable selection?
3. As related to question 2, in Time Series, when it is doing regression, is it doing the same "repeated" procedures to remove an unnecessary variable for each step?
(For example, when doing "Classifiation/Regression", not "Time Series", it does repeated steps to remove one unimportant variable for each step)
4. In "Specific Parameters of the Model" --> General Panel, there is "Variable Selection"
and "Percentage of Variable Contributions to Keep"
What is the exact meaning of this? Is this saying, for each variable, if KI drops less than or equal 5%, that variable should remain?
5. At the same panel, there is "Maximum Order of the Autoregressive Model",
In many cases, this edit box is empty without default value. If this box is empty, what value does Time Series use?
Or if that is empty, what does Time Series do in doing AR modeling?
6. At the same panel, there is "Activate for All Extrapredictable-based Trends"
I cannot understand what this option is doing.
Please explain to me what Time Series do when this check box is on and also when it is off.
7. As related to question 6, there I can see in Display Menu (after generating the model)
"Regression: Contribution by Variables"
There I can see the chart showing Maximum Smart Variable Contributions, Variable Contributions etc.
But even though I check the "Activate for All Extrapredictable-based Trends" on or off,
this chart never shows the whole list of extrapredictable variables in any case
but the number of extrapredictable variables shown changes if I check it on or off, anyway.
What is the difference between when "Activate for All Extrapredictable-based Trends" is on and when it is off
in deciding the number of extrapredictable variables selected in Variable Contributions or in Maximum Smart Variable Contributions?
8. At the same panel, there is "Activate for all autoregressive models".
It says, when it is checked on, it is doing parsimonious AR modeling.
Does this mean Time Series will set some of the coefficients in AR(n) to zero to get parsimonious one?
What is the exact formula when it is parsimonious?
9. The reference guide says, Time Series will create model = Trend + Cycle + AR + residual, if it is not doing Exponential Smoothing.
Can I get the exact formula including coefficients when the model is created?
10. For Trend, there is list Lag1, Lag2, Second Order Differencing....etc
Can Trend component have several among these at the same time, when it it created?
That is, Can Trend be something like Lag1 + Lag2 + Linear in Time?
11. For Trend, I guess, Time Seris looks like doing Regression, not "Time Series"
Is this correct? (But I am not sure what it does for Lag1, Lag2, Second Order Differencing)
12. I did several forecasts after generating models. I found MAPE for forecasts are not increasing w.r.t time
even though next forecast is done using previous forecast, which will increase error.
May I ask : why the forecast MAPE's are not increasing w.r.t time?
13. In "Model Overview", there is shown horizon-wide MAPE.
Is this MAPE calculated using estimation data only ? or using validation data only ?
14. In "Display" --> "Regression: Contributions by Variables" chart,
I can see variable something like ExtrasPred_xxxx where xxxx is one of the extrapredictable variable.
What are these variables?
15. In classification/regression, there are variables like c_xxxx where xxxx is the name of the variable.
In Time Series, are these c_xxxx variables also created?
16. In "Statistical Reports" --> "Performance Indicators" --> "Forecaste MAPE"
I found, MAPE value is just constant for each difference forecast.
Could you please explain why MAPE values are constant?
Also, for Forecast Error Bars, Forecast Efficiency, Other Performance Indicators, they are also all constant. Why are they constant?
17. Also, related to 16, what is Forecast Efficiency?
18. In "Statistical Reports" --> "Performance Indicators" --> "Other Performance Indicators"
What is Quality Coefficient?
Sorry for all long list of questions. Thank you in advance