Data Mining By Example – Forecasting and Cross Prediction Using Microsoft Time Series

by Shaoli Lu

Microsoft Time Series

• Microsoft Time Series algorithm provides a unique approach to time series forecasting that is both intuitive and accurate. It is used to forecast future series points based on past history

Goal

• To forecast and cross-predict based on past sales history

Prerequisite

• An SQL Server instance created (2005 or above)• SQL Server Analysis Service (SSAS) –

Multidimensional Feature Installed(this is used to host and browse the mining structures; cube is not required for data mining!)

• AdventureWorksDW database attached(download from CodePlex - tailor to the SQL Server version you have)

• Visual Studio 2010 or above with SQL Server Data Tools (SSDT) installed

My Demo Setup

• Visual Studio 2010 • SQL Server 2012

Create Data Mining Project

• Name the project as DM Forecasting (DM = Data Mining)

Create Data Source and Impersonation

Create Data Source View

Create Mining Structure

• Use relational data source• Choose Microsoft Time Series model• Select Data Source View• Select key, input and predict• Name the mining structure and model• Add Amount to the mining structure and

change it to Predict• Tune Algorithm Parameters

Deploy the mining structure and model

Process the mining model

• This is also called “training the model”

Mining Model Viewer

• Forecast trend• Select items to predict• View standard deviation• View forecasting mode in a tree graph• View regression formula• Use Generic Content Tree View to inspect

stats details

Mining Model Prediction

• Convert to DMX query• Adjust the DMX query by adding FLATTENED

clause• Add filters to the DMX query• View query results

Adding Additional Data

• DMX EXTEND_MODEL_CASES clause will add additional data to the existing data

Cross Prediction

• Create new named query AllRegions for cross-prediction

• Create a query for a specific region and model• Create a new mining structure for cross-

prediction• Deploy and process the cross-prediction mining

structure and model• Use REPLACE_MODEL_CASES in the DMX query

for cross-prediction

Browse mining model on SQL Server

• Time Series Chart View• Model Tree Graph• Prediction Query Window• DMX• Query result

Summary

• Microsoft Time Series is a powerful data mining model, yet it is intuitive to build, train and use

• It is useful in forecasting future event points • Algorithm Parameters can be tuned• DMX EXTEND_MODEL_CASES clause will add additional

data to the existing data• Use REPLACE_MODEL_CASES in the DMX query for

cross-prediction• Relational database can be used for data mining; cube is

not required

The End