Solved – Expert forecasting software evaluation

forecastingreferencessoftwaretime series

I have question on evaluating forecasting software with expert systems:

Are there any objective assessment (not from the manufacturer) on expert forecasting software in the literature?

I found two references, but both are old:

  1. Principles of Forecasting (2001) Armstrong
  2. Forecasting methods and applications (1998) Makridakis et al.

SCA and AUTOBOX seem to be two expert systems in the market, are there any comparisons made on these two software? Are there any other software that have expert systems?

Best Answer

The last review of SCA and AUTOBOX was done in 1995 (see here). We had approached Prof. Len Tashman the editor of Foresight for a head-to-head review of AUTOBOX vs SAS but SAS's representative replied in the negative in July 2010:

ARIMA modeling is an interesting subject, but not one I would want to focus on, or one I think of as central for modern forecasting methods. Even with the scope of the comparison explicitly limited to ARIMA functionality, there is still an imbalance in an Autobox versus SAS comparison. Autobox is a niche product that is all about automatic ARIMA modeling. On the other hand, SAS/ETS offers a broad range of tools for econometrics and time series modeling—our PROC ARIMA is just one of twenty-seven ETS procedures. For forecasting, our primary offering is SAS Forecast Server, not SAS/ETS. In turn, SAS/ETS and Forecast Server are just two of the dozens of offerings in the SAS product line. So even if the article is specifically limited to ARIMA, I’m afraid a “SAS” versus Autobox comparison would still come across a little like comparing a Notepad alternative to “Microsoft”.

To correct the above: AUTOBOX is and always has been about automatic and non-automatic modelling of both ARIMA and Transfer Functions. In this way experts can use their expertise much like SCA and SAS or at their option use the expert heuristics within AUTOBOX as a productivity aid.

There is a fairly recent review of AUTOBOX in 2010 (see here) that was very thorough.

I am one of the developers of AUTOBOX. In case you need more help please feel free to contact me and/or pose additional questions.

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