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.

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16 views

R auto.arima for two variables, forecasting crime deterrence - what am I missing?

I have data on newspaper articles about police cracking down on crime, and data on crimes reported to the police. The data are daily, covering about six months and the same city. I want to try an ...
-3
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16 views

DOUT ON AUTOREGRESSIVE INTEGRATED MOVING AVERAGE METHOD [on hold]

MY NAME IS R.REBECca.I AM DOING PROJECT IN FORECASTING USING ARIMA MODEL . can anyone tell me theortical calculation part of arima for the given question below. QUESTION : FOR A GIVEN A SET OF 10 ...
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24 views

Cross-correlation of two autocorrelated signals (removing acf with arima)

I want to get the cross-correlation of two time series x and y in R. I have calculated an arima model, and I can get the mod1$residuals from signal x. These residuals almost have no acf, so that's ...
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0answers
15 views

Forecasting using ARIMA when data available in interval of seconds

I want to use ARIMA for forecasting website visits after some fixed amount of seconds, say 100 seconds. I have csv file available that contain two columns; one is the time and another is the visits, ...
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1answer
41 views

Predicting time series using `arima` or `fitlm` in Matlab?

I have 6 sequences (time series); they all belong to the same variable. I divide each sequence in two parts having 80% and leaving the last 20% for validation. I am doing the analysis and modelling in ...
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2answers
24 views

Modelling effect of advertisement on sales with ARMAX

I am trying to model the effect of advertisement on sales in Stata. The data is weekly and there are around 150 observations. I started by applying an ARMAX(1,0,1) model with the following exogenous ...
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2answers
43 views

Estimating unconditional variance in time series

Consider a time series process with a well-defined, finite unconditional variance. Given a realization of the process (a time series) and a model for it, there are at least two ways of estimating the ...
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2answers
55 views

Can we identify ARIMA model without looking at ACF and PACF plot?

Can we identify ARIMA($p,d,q$) model without looking at the ACF and PACF plots? I am trying to write a generalized R programme for fitting time series models. We may find out the orders $p$, $d$ and ...
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1answer
53 views

Sample size for best forecasting ARIMA model

How can we decide the size or portion of the data given to get the ARIMA that has the best forecasting properties? I mean, for example, we have a hourly series with over 28.000 elements. Which is ...
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26 views

auto.arima from Forecast package for ARIMA (1, 0, X) model [closed]

I want to estimate a model(1, 0, X). The MA(X) in the model is selected on BIC. I have the following code on auto.arima ...
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19 views

Limiting the number of autoregressive terms in ARIMA in R [closed]

I am using the below mentioned R code to implement a simple ARIMA process in R: forecast<-arima(log_visits_ts, order=c(3,0,1),xreg=reg,method="CSS") Question: ...
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1answer
58 views

Irregular Time Series

Please consider the following code (in R) ...
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1answer
42 views

Applying an Arima model with exogenous variables to new data for forecasting [closed]

I have been working with the forecast package in R a lot, recently. And my question might seem trivial (or not, maybe I'm missing something), but for the life of me I can't seem to find a way to fit ...
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0answers
8 views

How to write equation for ARIMA(1,0,1) and match with R output?

I am doing Time Series Analysis with Daily Data of USDINR for 5 years, My best fit Model is arima(1,0,1). I am unable to decide an mathmetical equation for arima(1,0,1) with R output. I have some ...
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1answer
19 views

how to compare ARIMA and exponential smooting model numerically

The exponential smoothing method gives us values like SSE and $R^2$ for the entire model. The ARIMA model, however, does not give us these values. So, given the same data, how do one decide which ...
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0answers
29 views

Error in arima optim

I have the following dataset. I tried arima with xreg ...
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0answers
21 views

Multiple Seasons msts R fpp

I am trying to use the fpp package to do some forecasting in R My figures are daily and the seasonal trends include week, month and year. Week and year seem easy: y <- msts(x, ...
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1answer
32 views

How can I transfer an ARMAX model in Excel in order to forecast future values?

I am currently trying to set up an Excel based tool, that alows to predict future values based on an ARMAX model, previously set up in SPSS. The Excel tool contains the coeffienients, calculated by ...
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0answers
37 views

(S)ARIMA — Hints with Time Series

I am a beginner in time series analysis and I would like discuss a couple of numerical examples here implemented in R. I am reading some interesting books, but I also need some expert advice to get ...
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0answers
41 views

How to forecast weekly sales data using R and `auto.arima`?

I have weekly sales data with for thousands of products which I want to forecast in an automated manner. What I clearly observe in my data is that there is a weekly skew within a month (wk1 sales < ...
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0answers
39 views

Time Series: Normality

I have a time serie, and I want a stationary process for search posible models. One of the requirments is normality. shapiro.test(serie) p-value = 0.0002322 How ...
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2answers
68 views

How to estimate real series from smoothed moving average?

Suppose I have an observed time series $y_t$, which I suspect has been smoothed out. It appears to be significant autocorrelation at lag 1 and 2, therefore I suppose that the observed series $y_t$ is ...
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1answer
65 views

Cross Correlation and Prewhitening

I am using cross correlation to demonstrate a potential link between two time series (ext & co). Both series are strongly autocorrelated, so it is difficult to assess the dependence between the ...
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25 views

ARIMA with xreg in R: Are lagged regressor values considered? [closed]

In R, if one includes external regressors in the function arima, are the regressor lags considered (Box-Jenkins or something similar)? The following suggests that ...
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2answers
112 views

Time series with autoregressive distributed lags: Forecasting for future

I have daily data from last 2 years. I want to do ARIMAX and the regressor component being autoregressive distributed lag of the same variable. Since it has impact, along with dummy variables to ...
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0answers
17 views

How to write this ARIMA model mathematically? [duplicate]

I am trying to analyze a time series: I see a strong seasonal pattern, so from every value, I subtract the value from the same month the previous year (12 periods prior). Also, I am using 1 AR term ...
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66 views

SARIMA models: Good fit and stationarity

I'm doing a study where I try to fit two different data series to two different SARIMA models. Both series includes trends and seasonality (daily and quartely, I think) and I'm having problems to make ...
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0answers
36 views

Easy explanation of how to fit a multivariate GARCH model (in Gretl)

I have multiple financial time series data (FX-rates, commodity prices) that have been recorded daily (without weekends) for the past six years and want to analyze their effect/influence on the stock ...
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2answers
54 views

Time series analysis (ACF, PACF)

I have this monthly time series with pronounced seasonality and a bit of trend: The ACF and PACF for 4 years (48 months) are: Can I suppose that the data don't need transformations like: ...
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51 views

MA process formula explained

I'm currently reading about moving average processes. According to my textbook, the following applies: $$y_t=\mu + \epsilon_t -\theta_1\epsilon_{t-1}-...-\theta_q \epsilon_{t-q}$$ Questions on ...
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22 views

How to interpret linear filter formula

I am taking my first course in time-series analysis, and I recently encountered the so-called linear filter for the first time. I thought I could just skip this section. Apparantly though, this ...
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0answers
18 views

pre-whitening ARIMA order of integration

I am currently modelling a time series using an ARIMA model with transfer functions for the regressors. In order to get a stationary dependent variable I need to take seasonal differences (at lag ...
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3answers
137 views

What is/are the “mechanical” difference between multiple linear regression with lags and time series?

I'm a graduate from business and economics who's currently studying for a master's degree in data engineering. While studying linear regression (LR) and then time series analysis (TS), a question ...
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3answers
123 views

Sampling Effects on Time Series Models

I am working extensively with financial time series models, mostly AR(I)MA, and Kalman. One issue I keep facing is the sampling frequency. Initially I was thinking if offered the possibility to ...
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2answers
124 views

Forecasting technique for daily data with monthly and day of week seasonality

I have daily data for 3 years. This sales data is of seasonal nature as business has spikes and downfall by month. Also, sales differ by each day of the week. for example, monday in general in a month ...
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1answer
130 views

Convert double differenced forecast into actual value

I have already read Time Series Forecast: Convert differenced forecast back to before difference level and How to "undifference" a time series variable None of these unfortunately gives ...
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1answer
78 views

How to choose automatically between Auto.ARIMA, ETS and STL in R

I'm working on a sales forecasting package which should be easy to use for the end user. Given a time series with historical sales data I would like to automatically select one of the three forecasts: ...
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0answers
24 views

ARMAX / ARIMA models: Effect Size and R-squared

Is there an easy way in Stata to get the percentage of the variance explained by an ARMAX/ARIMA model (similarly to the adjusted R-squared in multiple linear regression)? Moreover, working with ...
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1answer
13 views

Variance term in ARIMA time series errors model

I'm working with the regARIMA class in Matlab which generates an ARIMA time series error model. One of the parameters which is necessary when you specify the model is the "Variance" which is defined ...
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2answers
32 views

How can I determine the ARIMA orders ($p$,$d$,$q$) from this correlogram?

I need help for understanding how can I interpret this correlogram in order to determine the $p$, $d$ and $q$ orders for ARIMA model. I use Stata, and I am analysing a time series with really few ...
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0answers
31 views

Time series with ARIMA(0,0,0) with non-zero mean

How to interpret and fit the model for stationary time series of frequency 1? The auto.arima output is "ARIMA(0,0,0) with non-zero mean". Forecast is giving 0 only ...
0
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1answer
24 views

Frequency parameter and its impact on auto.arima results

auto.arima returns two different models weather I define my time series with frequency=1 (default value) or ...
2
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1answer
46 views

Simulating a time series including a shock

I want to simulate a time series in R, following an ARMA(1,0) model in the form $Y_t = Y_{t-1} + \epsilon_t$, shocking it at time 20. In a few words, I therefore have to input $\epsilon_{20} = 30$ ...
3
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1answer
54 views

When is an “ARIMA process” stationary?

I'm sorry if this is a duplicate, but I can't seem to find the answer to this. If $Z_t$ is a white noise process and $X_t$ satisfies $$ \phi(B) X_t = \theta(B) Z_t $$ (where $B$ is the lag ...
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0answers
21 views

To fit a GARCH on ARIMA residuals or to fit an ARIMA+GARCH

I am working on time series data and have both conditional mean and conditional variance in the process. My strategy has so far been to fit a GARCH on the residuals of a fitted ARMA model. But then ...
0
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1answer
37 views

handling spikes in ARIMA model residual components

I am trying to predict sales values using time series approach. Below graph is the sales for a store over a period of 942 days (sales will be 0 when the store is closed and are not plotted in first 2 ...
0
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1answer
70 views

ARIMA forecasting with auto.arima() and xreg

I am working on project to forecast sales of stores to learn forecasting. Until now I have successfully used simple auto.arima function for forecasting. But to make ...
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0answers
17 views

How to interpret an ARMAX table

How to interpret the significant coefficients in the ARMAX on the dependent variable, oil price (Oil)? The data are returns. The coefficients on Technology ...
0
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1answer
52 views

ARMAX model and validation

I am new to time series and am trying to fit some time series data. I understand the general concept of ARIMA model. However, as I read more textbooks and articles from Rob Hyndman, I realized I ...
0
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1answer
34 views

What ARIMA model best fits these graphs?

I have so far concluded that the ACF and PACF show a potential ARIMA (1, 2, 1). Are there any other possibilities of ARIMA models that could also fit this data?