Refers to the AutoRegressive Integrated Moving Average model used in time series modeling both for data description and for forecasting. This model generalizes the ARMA model by including a term for differencing, which is useful for removing trends and handling some types of non-stationarity.

learn more… | top users | synonyms

3
votes
1answer
41 views

How to interpret and do forecasting using tsoutliers package and auto.arima

I have got monthly data from 1993 to 2015 and would like to do forecasting on these data. I used tsoutliers package to detect the outliers, but I do not know how do I continue to forecast with my set ...
0
votes
0answers
31 views

Pros&Cons of Hidden Markov Models in Time Series Forecasting

What are the advantages and disadvantages of Hidden Markov Models in forecasting values of a time series (compared to other methods, e.g. ARIMA)?
0
votes
0answers
17 views

SAS Proc ARIMA: How to interpret ADF test with several lags

I've been trying to examine the stationarity of variables in a model and from my research have seen a lot of people recommending the approach of ADF testing with several lags. However I am not ...
1
vote
0answers
31 views

Fitting ARIMA+GARCH in R [closed]

I have a line of code in R: ...
0
votes
0answers
23 views

Coefficients in the random shock form of ARIMA model

I am reading the classical book by Box and Jenkins "Time Series Analysis: Forecasting and Control" (4th Edition). When calculating forecasts confidence interval it's useful to use so called random ...
1
vote
0answers
35 views

Error in `auto.arima` in R: AIC value approximated

I am running an ARIMA model for my forecasts in R My data set is 1 month's data. It has 2976 observations which has a frequency of 15 min. I recieve data every 15 min. There is little seasonality in ...
2
votes
2answers
47 views

Checking heteroscedasticity in arima residuals

I'm using auto.arima function to analyze my data. And here's what I get: ...
0
votes
0answers
20 views

measuring accuracy in one step forecast(using auto.arima() and ets() in R

I’m working on workers’ remittances data (quarterly) for Bangladesh. The data span is from 1980 quarter 1 to 2014 quarter 4. My objective is to do univariate time series forecasting with ...
1
vote
1answer
28 views

X12 for seasonality adjustment - SAS

I found this code online and I wanted to dissect it before programming something similar in SAS. The problem is idenitfy seasonality in a time series. I want to understand the code line by line: ...
2
votes
0answers
30 views

AR(2) model, convert to smaller step size

Given an AR(2) model with coefficients $\varphi_1$ and $\varphi_2$ and step size of 1.0, is there a possibility to compute new coefficients, but with a different step size (e.g. smaller, 0.5) so that ...
1
vote
1answer
46 views

Improve ARIMAX model, compared to arima model

I am trying to model an ARIMAX model on my time series. ...
0
votes
0answers
21 views

ARIMA-GARCH Parameter Estimation

I fitted an ARIMA Model on a time series and then did an ARCH-LM Test which shows heteroscedasticity. So i want to get an ARIMA-GARCH Model. My question: Do i need to reestimate the parameters of ...
1
vote
0answers
18 views

ARIMA analysis disrupted by “frequency” and “period” terms

Data interval is day, i.e. daily data span over 5 years no data recorded on weekends and holidays a weekly pattern exists Representation in R zoo An easy way ...
1
vote
0answers
6 views

Why doesn't R's arima transform parameters when optimizing using CSS?

According to the manual the arima function in R doesn't transform parameters when optimizing using CSS. Is there a particular ...
1
vote
1answer
38 views

What techniques can be used to predict a time series with another time series?

What techniques can be used to predict a time series (say monthly economic data) with another time series (say a company's sales)? If you only have about 50 data points of monthly data, and a yearly ...
3
votes
1answer
63 views

Best way to deal with forecasting with noisy data?

I have a bunch of sales data. It is from distributors of 2000 different items, who service big companies and large distributors to a number of small independent stores. They sell some items which do ...
1
vote
1answer
19 views

A smoothed series still exibits strong seasonality

I have a monthly time series. It is basically a price level series (inflation data), and I converted it into monthly percentage changes (i.e. like the CPI measure). This time series exhibits extremely ...
1
vote
1answer
50 views

Does ARIMA require normally distributed data? [duplicate]

I want forecast inflation using ARIMA model. My questions are: Does ARIMA require normally distributed input data? (Because my data—inflation—is not normal.) If ARIMA require normally ...
1
vote
1answer
36 views

How does the R function arima() calculate its residuals?

I am new to time series and I am trying to figure out exactly what does on beyond the scenes in R. Say I have the MA process: $$y_t - \mu = a_t+\theta_1 a_{t-1} + \theta_2 a_{t-2}$$ where $a_t$ are ...
1
vote
1answer
43 views

On estimating ARIMA models on artificially made time series data

For each day, I observe my variable, y(t), for a period of 12 hours. In order to understand the data and make predictions, I want to put together these data and ...
1
vote
2answers
62 views
1
vote
0answers
27 views

ARIMA versus a Mixed model for trend detection

I am trying to find any evidence of warming in monthly times series data of water temperature over a 21-year period that is serially correlated. Essentially I am looking to determine a global trend, ...
2
votes
0answers
27 views

auto.arima and DLM give different values for loglikelihood

I want to estimate an ARIMA model on my timeseries, then represent it in state space format, mainly because it will be more responsive to change in pattern. I used ...
0
votes
0answers
25 views

How ARIMAX model is presented in R

I have a relatively simple problem, but yet taking some time to solve it. I am suing ARIMAX{TSA} function. This is the model ...
3
votes
0answers
36 views

Why no MAX models?

I'm diving into the field of system identification, black box modeling and forecasting. A lot still has to become clear to me, but one question that came to my mind (and to which the answer might ...
0
votes
0answers
11 views

Shock event values in Linear Aggregate Definition of AutoRegressive Process

I am a beginner in Time Series and studying (self study) at the derivation of the relation between AR process of Deviations and the Linear Filter process of actual values of Time Series. Have this ...
0
votes
1answer
25 views

Are the data stationary or non-stationary and seasonality?

I want to use Arima model for forecasting wind speed.I plot my data. Then i plot ACF and PACF. I used ADF test and KPSS test and they said that data are stationary and doesnt need differencing but ...
2
votes
1answer
97 views

Why can't my (auto.)arima-model forecast my time series?

For testing I generated a very simple time series with a clear recurring pattern. I expected that auto.arima will generate a model, that can forecast that pattern, but óbviously it doesn't. Can anyone ...
1
vote
0answers
40 views

Constant in arima model whether to include or exclude?

I have a very basic question on including constant in Arima models. I'll illustrate this by an example. I have the following ACF and PACF of a weekly time series that is differenced at lag 1 (trend) ...
0
votes
1answer
51 views

ARIMA possible with multiple groups?

I’m looking to build an ARIMA model in R to help me predict the number of shots a football player is going to take in a game. I have last season's data to analyse to determine the optimal lags for ...
1
vote
1answer
45 views

How to identify the seasonality of a timeseries from the Periodogram?

I need to identify seasonality/ periodicity of a dataset so as to develop an ARMAX model. This is what the original time-series looks like I have plotted the periodogram of the dataset. Ps: I used ...
0
votes
0answers
25 views

How can I intepret and compare ARIMAs from different data sets?

I have human chromosome data. I have 23 chromosomes that consist of equally spaced windows of 100,000 base pairs with a dependent variable attached. I am treating this like a 1 dimensional spatial ...
0
votes
0answers
16 views

How to include seasonality in the data ARMAX model that has multiple periodicities?

I am doing regression with ARIMA errors. The residuals are as shown in the figure below. Clearly, the scatter plot shows that this time series has some sort of periodicity or seasonality, but its very ...
0
votes
1answer
36 views

comparing ARIMA and AR with external regressor

Consider the following models fitted to the same time series: ARIMA(0,1,1) ARIMA(1,0,0) (that is, AR(1)) with an external regressor Can I use the AIC (or any other information criteria) to decide ...
0
votes
1answer
47 views

ARIMA modeling white noise probabilities vs. residual autocorrelation/PACF

I have moderate understanding of statistics and time series analysis. I trying to forecast a weekly time series with lots of outliers and trend shifts. After correcting all of the outliers, I'm left ...
1
vote
0answers
27 views

Conditional versus Unconditional MLE parameters estimation?

I have read about both conditional and unconditional MLE parameters estimation for ARIMA models but I have problem understanding the concept from the statistical books . Does conditional MLE mean that ...
3
votes
1answer
116 views

Multiple ARIMA models fit data well. How to determine order? Correct approach?

I've got two time series (parameters of a model for males and females) and aim to identify an appropriate ARIMA model in order to make forecasts. My time series looks like: The plot and the ACF ...
2
votes
1answer
127 views

Understand order of time series

I am trying to build a time series model. I looked at the ACF/PACF and adf test of the series and thought that an ARMA(p,q) model will be suitable for the data. However when I run auto.arima(), it's ...
0
votes
1answer
45 views

Does the Dickey-Fuller test for a Random Walk?

Is it valid to say that the Dickey-Fuller test, tests for a random walk? Since the AR(1) process $Y_{t} = \rho Y_{t-1} + e_{t}$ with $\rho = 1$ is the same as the random walk. (Next value is maximum ...
1
vote
1answer
101 views

Determining order of ARIMA model using Box-Jenkins. Correct approach / argumentation?

I obtained a couple of time series from estimating my (mortality-)model which I now aim to forecast with an appropriate ARIMA(p,d,q) model, which should be chosen with the use of the Box-Jenkins ...
0
votes
0answers
15 views

Time Series Modeling: How to get a more stable time series model that captures postive/negative runs?

I am trying to fit a time series to a data set that contains both positive and negative values. A key metric that I need to use to determine the quality of the fit is the distribution of positive and ...
2
votes
1answer
200 views

time series - Poor prediction using ARIMA model

I am trying to fit and forecast log returns of a price data using ARIMA model in R. For reproducibility, data is provided here. Steps Followed, Code and Results obtained Check for outliers ...
0
votes
1answer
38 views

How to combine multiple time series or linear models?

What would be the best suited method to analyze the following: ...
1
vote
0answers
22 views

ARIMA Fitting: CSS vs CSS log likelihood

Can someone explain to me: in estimating the parameters for an ARIMA model, what is the advantage of optimizing the CSS log likelihood(pg 2), versus optimizing CSS (pg 3)? Are there any ...
1
vote
0answers
24 views

forecasting imputed data

My data set consists of a 15 year time series of monthly water quality measurements (10 different measurements). The data set has ~30% missingness. I applied multiple imputation using the Amelia II ...
1
vote
0answers
62 views

R : arima : plotting regression line of autocorrelated time-series data when d > 0

I'm interested in determining both the slope regression coefficient and plotting regression lines for autocorrelated time-series datasets of rainfall. Specifically, I'd like to identify the best ...
0
votes
2answers
64 views

Does ARIMA(0,1,11)4 exist?

I have, without luck, searched to find what an ARIMA model that is differenced once, and has two moving average terms (one at lag 1 and one at lag 4) is called. The equation for what I am asking for ...
1
vote
2answers
50 views

ARIMA (with xreg) vs GLS

I am fitting both an arima model (with xreg variables) and a gls model to my data in R software. They both have the same ARMA structure and variables. The ARIMA model fits to the data better. Does ...
0
votes
0answers
23 views

How are the ARIMA forecasted values calculated?

If I have data for 10 days and want to predict the data for the next day based on the previous ones, how does ARIMA find the predicted value? Is it just the average of the last 10 days, or are other ...
0
votes
0answers
35 views

Forecasting daily subscriptions: which method should I use?

I am interested in predicting the data for a day, based on the data given from the 14 previous days. The data I am working with is the number of subscriptions to a website per day. Each day, the ...