Procedures

SAS High-Performance Forecasting software includes the following procedures:

HPFARIMASPEC

The HPFARIMASPEC procedure is used to create an autoregressive integrated moving average (ARIMA) model specification file. The output of the procedure is an XML (extensible markup language) file that stores the intended ARIMA model specification. This XML specification file can be used to populate the model repository used by the HPFENGINE procedure. (Likewise, the XML files generated by the other model specification procedures in this section can also be used to populate the model repository used by PROC HPFENGINE.)

HPFDIAGNOSE

The HPFDIAGNOSE procedure is an automatic modeling procedure to find the best model among ARIMA models, exponential smoothing models, and unobserved component models.

The HPFDIAGNOSE procedure has the following functionality:

• intermittency test

• functional transformation test

• simple differencing and seasonal differencing test

• tentative simple ARMA order identification

• tentative seasonal ARMA order identification

• outlier detection

• significance test of events

• transfer functions identification

• intermittent demand model

• exponential smoothing model

• unobserved component model

HPFENGINE

The HPFENGINE procedure provides large-scale automatic forecasting of transactional or time series data. The HPFENGINE procedure extends the foundation built by the HPF procedure, enabling the user to determine the list of models over which automatic selection is performed.

The use of many forecast model families is supported when the HPFENGINE procedure is used in conjunction with new experimental procedures that generate generic model specifications. Among these models are the following:

• ARIMA

• unobserved component models (UCM)

• exponential smoothing models (ESM)

• intermittent demand models (IDM)

• external models (EXM)

Furthermore, users can completely customize the operation by defining their own code to generate forecasts.

For models with inputs, the STOCHASTIC statement is especially helpful for automatically forecasting inputs that have no future values.

Also supported is the generation of a portable forecast score. The output of the SCORE statement is a file or catalog entry which, when used with the new function HPFSCSUB, can be used to efficiently generate forecasts outside of the HPFENGINE procedure.

The HPFDIAGNOSE procedure produces output that is compatible with HPFENGINE. As a result, the task of candidate model specification can be entirely automated.

HPFESMSPEC

The HPFESMSPEC procedure is used to create an exponential smoothing models (ESM) specification file. The output of the procedure is an XML file that stores the intended ESM specification.

HPFEVENTS

The HPFEVENTS procedure provides a way to create and manage events associated with time series. The procedure can create events, read events from an events data set, write events to an events data set, and create dummy variables based on those events, if date information is provided.

A SAS event is used to model any incident that disrupts the normal flow of the process that generated the time series. Examples of commonly used events include natural disasters, retail promotions, strikes, advertising campaigns, policy changes, and data recording errors.

An event has a reference name, a date or dates associated with the event, and a set of qualifiers. The event exists separately from any time series; however, the event can be applied to one or more time series. When the event is applied to a time series, a dummy variable is generated that can be used to analyze the impact of the event on the time series.

HPFEXMSPEC

The HPFEXMSPEC procedure is used to create an external models (EXM) specification file. The output of the procedure is an XML file that stores the intended EXM specification.

HPFIDMSPEC

The HPFIDMSPEC procedure is used to create an intermittent demand models (IDM) specification file. The output of the procedure is an XML file that stores the intended IDM specification.

HPFRECONCILE

The HPFRECONCILE procedure reconciles forecasts of time series data at two different levels of aggregation. Optionally, the HPFRECONCILE procedure can disaggregate forecasts from upper level forecasts or aggregate forecasts from lower level forecasts. Additionally, the procedure enables the user to specify the direction and the method of reconciliation and equality constraints and bounds on the reconciled values at each point in time.

HPFSELECT

The HPFSELECT procedure is used to create model selections lists. A model selection list contains references to candidate model specifications stored in the model repository. The output of the procedure is an XML file that stores the intended model selection list.

HPFUCMSPEC

The HPFUCMSPEC procedure is used to create an unobserved component models (UCM) specification file. The output of the procedure is an XML file that stores the intended UCM specification.

HPFSCSIG

The HPFSCSIG function generates a sample signature for subsequent use by the HPFSCSUB function.

HPFSCSUB

The HPFSCSUB function uses score files to produce forecasts outside of the HPFENGINE procedure. Because it is a function, it is particularly well suited for use within other SAS programming contexts (such as the DATA step) or procedures that permit the specification of functions (such as the NLP procedure). The only input required is a reference to the score function, the horizon, and future values of any inputs.