On Tue, 1 Sep 2009, Oliver Heering wrote: > coming from data mining and machine learning i have the > following question which may or may not sound stupid for you, > but as i have no clue and there are no stupid questions (just > stupid answers) i take my chance posting the question to this > list:
Fine. > I already figured out how to fit an ARIMA process to my data > (ok, how to actually find GOOD AR/MA/difference orders would be > another question). And i can save the resulting model as Icon to > my session. Does that mean i can also apply my model to any > other data (of the same type of course)? Let's say i fit my > model against a timeseries range A. How can i find out how my > model fits to another timeseries range B? > > Maybe this isn't possible at all and i am misunderstanding the > whole concept of ARIMA models and -forecasting. I am primary > working with the data mining tool "RapidMiner", which allows you > to easily apply any learned model to new and unseen data > (classification mainly, but regression as well) and i wonder if > it is the same with an estimated ARIMA model. In the gretl GUI, an existing model is in effect defined by an estimation method (e.g. ARIMA). On opening a saved model you can use the menu item "/Edit/Modify model..." in the model window to create a new, related model. You can substitute a new dependent variable, and/or edit the list of regressors, and/or tweak things such as the lag order. In a gretl script, there's no limit to the extent to which you can use an existing model as the basis for a new one. Just copy, paste and edit. > By the way, i appreciate that case markers can now be up to 15 > chars in length, but what are they actually used for? Of course > i'd like to have them show up on my plots, which i currently do > by manually tweaking the gnuplot commands, but i think this > functionality is still missing in gretl, am i correct? So what's > left? Is there any practical use-case for case markers in > timeseries analysis? With time-series data there's little or no use for case markers, since the general assumption is that date strings should be used. Case markers are most useful for cross-sectional data where otherwise the observations would be anonymous. Allin Cottrell
