FUF 1.08.1

Free Univariate Forecasting — probabilistic forecasting for univariate SARIMA models.

Copyright (C) 1995-1996 J.A. Mauricio; 2009-2026 A.B. Treadway & D.E. Guerrero
License: GNU General Public License v2 or later.

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Table of contents

1. Introduction
2. System requirements
3. File structure
4. Building
5. Command-line usage
6. Workflow with FUE and gtk_fue
7. Input file format
8. Example
9. Bug reports

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Introduction

FUF is a command-line program for computing and displaying probabilistic forecasts from a SARIMA model estimated by FUE. It reads the forecast input file generated by fue -f, propagates the ARMA structure, and produces:

• A text output file with point forecasts and prediction intervals.
• A LaTeX/PDF report with the forecast graphic.
• A diagnostic plot of the model residuals.

FUF is part of the univariate time series toolkit:

• FUE — identification and exact maximum likelihood estimation
• gtk_fue — GTK+3 graphical interface for FUE and FUF

System requirements

• C compiler: GCC ≥ 9 (Linux/macOS) or MinGW-w64 (Windows)
• GNU Scientific Library (GSL) ≥ 2.0
• Gnuplot ≥ 5.0 (residual graphics)
• LaTeX distribution with pdflatex (forecast PDF report)
• GNU Make

On Debian/Ubuntu:

sudo apt install build-essential libgsl-dev gnuplot texlive-latex-base

On macOS (Homebrew):

brew install gsl gnuplot

File structure

fuf-1.08.1/
├── src/           source files (.c)
├── include/       header files (.h)
├── obj/           compiled objects (created by make)
├── bin/           executable (created by make)
├── Makefile
├── README.md
└── README.es.md

Building

Linux (default)

make

The executable is placed in bin/fuf.

macOS

make

If GSL is installed via Homebrew and pkg-config cannot find it:

PKG_CONFIG_PATH=/opt/homebrew/lib/pkgconfig make

Windows — cross-compilation from Linux using MXE

make CROSS=x86_64-w64-mingw32.static-    # 64-bit
make CROSS=i686-w64-mingw32.static-      # 32-bit

The executable is placed in bin/fuf.exe.

Other targets

make clean       # remove object files and executable
make distclean   # remove obj/ and bin/
make install     # copy bin/fuf to /usr/local/bin
make uninstall   # remove /usr/local/bin/fuf

Command-line usage

fuf input

Argument	Description
input	forecast input file name (without .inp extension)

FUF reads input.inp, which must be the file generated by fue input -f. It writes input.out (text results) and compiles a PDF report.

Workflow with FUE and gtk_fue

The normal workflow is:

1. Estimate with FUE:

   fue mymodel
   

   This reads mymodel.inp and writes the estimation report mymodel.out.

2. Generate the forecast input file:

   fue mymodel -f [horizon]
   

   This writes forecast_mymodel.inp, which contains the estimated parameters, the forecast horizon (default: 24 periods), and the innovation variance.

3. Compute the forecasts:

   fuf forecast_mymodel
   

   This reads forecast_mymodel.inp and produces the forecast report.

From gtk_fue, steps 2 and 3 are triggered automatically by the Forecast button in the toolbar or the Forecast tab.

Input file format

The .inp file read by FUF is produced by fue -f and shares the same structure as a standard FUE .inp file, with two additions in the header:

• A residuals series name on the date line (defaults to A{name} if absent).
• A Forecast horizon and estimated innovation variance section immediately after the date line, containing the lead time L and σ².

The ARMA operator sections (regular AR/MA, annual AR/MA, fixed-frequency AR/MA) are in the same format and order as in a standard FUE .inp file.

Example

The src/examples/ directory of the companion fuf-1.08 release contains PC11.inp, a quarterly model example. To estimate and forecast:

fue PC11
fue PC11 -f 12
fuf forecast_PC11

Bug reports

David E. Guerrero — davidesg@ucm.es