SAS High-Performance Forecasting (HPF) software provides a system of SAS procedures for large-scale automatic forecasting in business, government, and academic applications. Major uses of High-Performance Forecasting procedures include: forecasting, forecast scoring, market response modeling, and time series data mining.

The software includes the following automatic forecasting process:

• accumulates the time-stamped data to form a fixed-interval time series

• diagnoses the time series using time series analysis techniques

• creates a list of candidate model specifications based on the diagnostics

• fits each candidate model specification to the time series

• generates forecasts for each candidate fitted model

• selects the most appropriate model specification based on either in-sample or holdout-sample evaluation using a model selection criterion

• refits the selected model specification to the entire range of the time series

• creates a forecast score from the selected fitted model

• generate forecasts from the forecast score

• evaluates the forecast using in-sample analysis

• provides for out-of-sample forecast performance analysis

• performs top-down, middle-out, or bottom-up reconciliations of forecasts in the hierarchy