Time Series Forecasting in Oracle – Part 1
Time-series analysis comprises methods for analyzing time series data in order to extract meaningful statistics and other characteristics of the data. In this blog post I’ll introduce what time-series analysis is, the different types of time-series analysis and introduce how you can do this using SQL and PL/SQL in Oracle Database. I’ll have additional blog posts giving more detailed examples of Oracle functions and how they can be used for different time-series data problems.
Time-series forecasting is the use of a model to predict future values based on previously observed/historical values. It is a form of regression analysis with additions to facilitate trends, seasonal effects and various other combinations.
Time-series forecasting is not an exact science but instead consists of a set of statistical tools and techniques that support human judgment and intuition, and only forms part of a solution. It can be used to automate the monitoring and control of data flows and can then indicate certain trends, alerts, rescheduling, etc., as in most business scenarios it is used for predict some future customer demand and/or products or services needs.
Typical application areas of Time-series forecasting include:
- Operations management: forecast of product sales; demand for services
- Marketing: forecast of sales response to advertisement procedures, new promotions etc.
- Finance & Risk management: forecast returns from investments
- Economics: forecast of major economic variables, e.g. GDP, population growth, unemployment rates, inflation; useful for monetary & fiscal policy; budgeting plans & decisions
- Industrial Process Control: forecasts of the quality characteristics of a production process
- Demography: forecast of population; of demographic events (deaths, births, migration); useful for policy planning
When working with time-series data we are looking for a pattern or trend in the data. What we want to achieve is the find a way to model this pattern/trend and to then project this onto our data and into the future. The graphs in the following image illustrate examples of the different kinds of scenarios we want to model.
Most time-series data sets will have one or more of the following components:
- Seasonal: Regularly occurring, systematic variation in a time series according to the time of year.
- Trend: The tendency of a variable to grow over time, either positively or negatively.
- Cycle: Cyclical patterns in a time series which are generally irregular in depth and duration. Such cycles often correspond to periods of economic expansion or contraction. Also know as the business cycle.
- Irregular: The Unexplained variation in a time series.
When approaching time-series problems you will use a combination of visualizations and time-series forecasting methods to examine the data and to build a suitable model. This is where the skills and experience of the data scientist becomes very important.
Oracle provided a algorithm to support time-series analysis in Oracle 18c. This function is called Exponential Smoothing. This algorithm allows for a number of different types of time-series data and patterns, and provides a wide range of statistical measures to support the analysis and predictions, in a similar way to Holt-Winters.
The first parameter for the Exponential Smoothing function is the name of the model to use. Oracle provides a comprehensive list of models and these are listed in the following table.
Check out my other blog posts on performing time-series analysis using the Exponential Smoothing function in Oracle Database. These will give more detailed examples of how the Oracle time-series functions, using the Exponential Smoothing algorithm, can be used for different time-series data problems. I’ll also look at example of the different configurations.
One thought on “Time Series Forecasting in Oracle – Part 1”
April 23, 2019 at 5:35 pm
[…] This is the second part about time-series data modeling using Oracle. Check out the first part here. […]
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