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Time Series: Confidence Level (Probability) of Prediction
Time Series: Confidence Level (Probability) of Prediction
- Hi,
It is very useful to have a good estimate of confidence level of prediction in any forecasting method . It is like saying tomorrow it will rain with 75% confidence or there is 75% chance of raining tomorrow. Though SQL Analysis Services has this prediction probability in some algorithms (PredictProbability Function) I am not seeing this with the Time Series algorithm where I think this is most relevant! Is there a way to find confidence level of prediction in Time Series?
Thanks
-Hari
Answers
- Hi,
There is possibility to compute standard deviation of the prediction, so you can use to create confidence prediction intervals with some assumptions about the distribution of the prediction error (often gasussian distribution). Here is example how to compute st.dev. of the prediction (example from the book)
SELECT FLATTENED
(
SELECT *, PredictStdev([Red])
FROM PredictTimeSeries([Red],12)
) AS Forecast
FROM [Red]- Marked As Answer byJamie MacLennanMSFT, ModeratorFriday, October 30, 2009 7:55 PM
All Replies
- Hi,
There is possibility to compute standard deviation of the prediction, so you can use to create confidence prediction intervals with some assumptions about the distribution of the prediction error (often gasussian distribution). Here is example how to compute st.dev. of the prediction (example from the book)
SELECT FLATTENED
(
SELECT *, PredictStdev([Red])
FROM PredictTimeSeries([Red],12)
) AS Forecast
FROM [Red]- Marked As Answer byJamie MacLennanMSFT, ModeratorFriday, October 30, 2009 7:55 PM
