System and method for modelling time series data
An information handling system comprising a data store is configured to store time series data and a processor. The processor is configured to acquire data, the data including time series data, isolate one or more time series from the data, assigning a unique time series identifier to each time series, and storing the time series and the time series identifiers in the data store, forecast additional time points for the one or more time series using a plurality of models, determine a fit statistic for each model for each time series, select a preferred model for each time series based on the fit statistics of the models for the time series, and provide a forecast to a user for each time series.
1. An information handling system comprising:
a data store configured to store time series data; and
a processor configured to:
acquire data, the data including the time series data;
isolate one or more time series from the data, assign a unique time series identifier to each time series, and store the time series and the time series identifiers in the data store;
cluster the time series data to obtain a first level of granularity for the data;
select a plurality of models based on stored fit statistics for similar data sets;
forecast additional time points for the one or more time series using the plurality of models;
determine a fit statistic for each model for each time series;
select a preferred model for each time series based on the fit statistics of the models for the time series;
determine a confidence value for the model for the times series;
cluster the time series data at an adjusted granularity level for any time series where the confidence value is below a threshold and repeating the forecast at the adjusted granularity level, adjusting the granularity level until the confidence value meets or exceeds the threshold;
store the fit statistics and an execution history along with the time series in the data store; and
provide a forecast for each time series.
2. The information handling system of claim 1 , wherein the fit statistic includes statistics about the fit of a single model including residuals, goodness of fit, deviance, or any combination thereof.
3. The information handling system of claim 2 , wherein the processor is further configured to store the fit statistics in the data store.
4. The information handling system of claim 1 , wherein the processor is further configured to determine statistical metadata for each time series, the statistical metadata including statistics across the plurality of models including a mean, a minimum, a maximum, a standard deviation, or a combination thereof for forecast values provided by the set of models.
5. The information handling system of claim 4 , wherein the processor is further configured to determine an ensemble forecast from the plurality of models and provide the ensemble forecast.
6. The information handling system of claim 1 , wherein the data includes multiple levels of granularity.
7. The information handling system of claim 1 , wherein the processor is further configured to repeat the forecast on updated data at specified time intervals.
8. A method comprising:
acquiring data, the data including time series data;
selecting a first level of granularity for the data;
using a processor to isolate one or more time series from the data, assign a unique time series identifier to each time series, and store the time series and the time series identifiers in a data store;
selecting a set of models based on a type of the data;
training the set of models against a first portion of the data;
testing the set of model against a second portion of the data;
forecasting additional time points for the one or more time series using the set of models;
determining a fit statistic for each model for each time series;
using the processor to select a preferred model for each time series based on the fit statistics of the models for the time series;
determining a confidence value for the model for each time series;
adjusting a granularity level for any time series where the confidence value is below a threshold and repeating the forecast at the adjusted granularity level, adjusting the granularity level until the confidence value meets or exceeds the threshold;
storing the fit statistics and an execution history along with the time series in the data store; and
providing a forecast for each time series.
9. The method of claim 8 , wherein the fit statistic includes statistics about the fit of a single model including residuals, goodness of fit, deviance, or any combination thereof.
10. The method of claim 9 , wherein the processor is further configured to store the fit statistics in the data store.
11. The method of claim 8 , wherein the processor is further configured to determine statistical metadata for each time series, the statistical metadata including statistics across the set of models including a mean, a minimum, a maximum, a standard deviation, or a combination thereof for forecast values provided by the set of models.
12. The method of claim 11 , wherein the processor is further configured to determine an ensemble forecast from the set of models and provide the ensemble forecast.
13. The method of claim 8 , wherein the data includes multiple levels of granularity.
14. The method of claim 8 , wherein the processor is further configured to repeat the forecast on updated data at specified time intervals.
15. A method of providing forecasting as a service, comprising:
acquiring data, the data including at least one time series, the data including multiple levels of granularity;
using a processor to isolate one or more time series from the data, assign a unique time series identifier to each time series, and store the time series and the time series identifiers in a data store;
clustering the time series to obtain a first level of granularity;
selecting a plurality of models based on stored fit statistics for similar data sets;
forecasting additional time points for the one or more time series using the plurality of models;
determining a fit statistic for each model for each time series;
using the processor to select a preferred model for each time series based on the fit statistics of the models for the time series;
determining a confidence value for the model for each time series;
clustering the data at an adjusted granularity level for any time series where the confidence value is below a threshold and repeating the forecast at the adjusted granularity level, adjusting the granularity level until the confidence value meets or exceeds the threshold;
storing the fit statistics and an execution history along with the time series in the data store; and
providing a forecast to a user for each time series.
16. The method of claim 15 , wherein the fit statistic includes statistics about the fit of a single model including residuals, goodness of fit, deviance, or any combination thereof.
17. The method of claim 16 , wherein the processor is further configured to store the fit statistics in the data store.
18. The method of claim 15 , wherein the processor is further configured to determine statistical metadata for each time series, the statistical metadata including statistics across the plurality of models including a mean, a minimum, a maximum, a standard deviation, or a combination thereof for forecast values provided by the set of models.
19. The method of claim 18 , wherein the processor is further configured to determine an ensemble forecast from the plurality of models and provide the ensemble forecast to the user.
20. The method of claim 15 , wherein the processor is further configured to repeat the forecast on updated data at specified time intervals.