Model creation tool for econometric models
AssigneeSignalDemand, Inc.
InventorRobert D. Pierce
Life of this patent
Estimating the term…
Abstract
A model creation tool is provided that automatically evaluates potential econometric models and, given a set of historical data on which the model is intended to operate and other constraints, automatically identifies an optimum model. The optimum model may be an autoregressive model. The optimum model is defined by a set of optimum model parameters and optimum model coefficients. The optimum model parameters may include a model order such as an autoregressive model order, a seasonality function parameter, a trend function parameter, and a parameter that sets a tolerance that is used when performing principal components dimension reduction operations on the historical data.
Claims12
A method for using an econometric model creation tool implemented on computing equipment to automatically create an optimum econometric model that generates an economic forecast over a forecast horizon based on a given set of historical data, wherein the model is defined by model parameters and model coefficients, the method comprising:
- selecting a plurality of trial sets of model parameters for the model using the model creation tool implemented on the computing equipment;
- estimating model coefficients for the model defined by each set of trial model parameters using the model creation tool implemented on the computing equipment;
- with the model creation tool implemented on computing equipment, using the estimated model coefficients and the given set of historical data in the model that is defined by each set of trial parameters to generate a corresponding error metric value that is indicative of how well that model generates forecasts;
- with the model creation tool implemented on computing equipment, using the error metric values to identify which of the sets of trial parameters and estimated model coefficients defines the optimum model;
- and
- using the model creation tool implemented on computing equipment to perform an automated principal components analysis on the given set of historical data.
Dependencies are inferred from the claim text.