Forecasting – R and PowerBI references

PowerBi team announced a wonderful forecasting feature.  It allows beautiful visual exploration of forecast,  hindcast & confidence interval. It also allows detection of
seasonality.

You can play/read about it here.

On other hand last year we helped customers   forecasting with help of R and they were pretty happy. R’s forecast package was written by Hyndman who has kindly recorded a great video on it. His cran documentation too is  very neat and detailed.

The forecast package by itself allows creation of  “period/season”. It allows analysis by different methods  and plot them to show the deviation.

Reference
Power BI
For first  time I have seen teams describing algorithms they have used  and how they diverge- validation window – compute the sum of squares of prediction errors for the window as a whole –  thus dampening the variation . Team is also generous with links, references and best practices.

R – forecast package. This simple code is at github.

As the fan chart indicates error definitely goes up as the “period” becomes large for prediction.

BTW – Excel itself has decent trending abilities in form of trendline(linest) and lately forecasting.

The challenge with exponential smoothing is in terms of base which is mostly chosen as an average or worst case recent observations are given more weightage. Holt-Winter’s
Multiplicative exponential smoothing can take care of seasonality and auto-co-relation.

Gotta do the same exercise as R one day in PowerBI – I like the ease of use, visualization. R on other hand provides lot more ways to try out.

Forecasting – R and PowerBI references

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