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