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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2
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1answer
40 views

How can a univariate seasonal time series be made normally distrubuted by Box-Cox transformation?

I'm trying to fit a sarima model on the univariate data with 180 points (periodicity=12). I use the auto.arima function in R. After fitting a model to the data, the only problem is the violation of ...
0
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0answers
16 views

ARIMA vs. Random Forest

We have some power load functions that of course are driven heavily by a workday rhythm that we need to forecast, and after some light research into the topic, I see that using ARIMA would seemingly ...
0
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0answers
21 views

Determining the optimal lookback length for an arima forecast

How can I determine the optimal lookback length for an arima forecast? ...
2
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1answer
23 views

Prediction intervals in ARIMAX accounting for forecast uncertainty in future $X$?

I have a problem with my SPSS software and ARIMAX forecasts. Consider a series $Y$ that depends on a different series $X$, which is not known in advance with certainty, but must be forecasted itself. ...
0
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0answers
20 views

Bivariate ARIMA model in Stata

I am having troubles fitting a bivariate ARIMA model in STATA. Is there such a capability at all? I can choose dependent and independent variables but once I set them to be mortality and alcohol ...
2
votes
1answer
62 views

Constraints on the Coefficients of a Seasonal ARIMA Model (Possible Software Bug ITSM)

I am attempting to fit a seasonal ARIMA models using ITSM software. The following is the model. ARIMA$(1,1,0)\times(1,1,0)_{12}$: $\phi(B) \Phi(B^{12}) = (1-\phi B)(1-\Phi B^{12})=1-\Phi ...
0
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0answers
39 views

Is this the wrong way to do cross-validation?

I am building an ARIMA model and did a grid search to find which values to use for my AR and MA components using the AIC criteria (this was using all of my data). The results are in this graphic: ...
1
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1answer
132 views

R Time Series Analysis forecast result always remains same

I am trying to do time series analysis in R. I have data time series data set like this. ...
4
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2answers
36 views

Which forecast way is better

I want to predict daily headcount in a given area. The area can be divided into several blocks. The blocks share very little similarity. The question is, if I'm only interested in total daily ...
0
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0answers
21 views

Best way to select parameters to SARIMAX model

I am trying to understand what is the best way to find the hyper-parameters for an SARIMAX timeseries model, this has 4 additional parameters (P-AR parameters,D-differences,Q-MA ...
2
votes
2answers
61 views

Which econometric models can be used to forecast security returns + ARIMA/GARCH questions

I'm trying to write an undergraduate thesis wherein I test the predictive power of a given econometric model on a given financial time series. I need some advice on how I should go about doing this. ...
2
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0answers
33 views

Why and when stationarity is achieved by decomposition rather than differencing in ARIMA model

I would like to understand relationships between variables by which cross-correlation function, that means what is the extent one variable influence the other one. ARMA model is used to fit two ...
0
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0answers
22 views

ARIMA model in SPSS [on hold]

I am trying to run a regression on several independent variables on SPSS and the Durbin-Watson statistic was very low (0.5). I then employed an AR(1) model by using the time series modeler but I ...
0
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0answers
22 views

How to build separate time series forecasts model for each of 3k customers?

I have 3000 customers in my base and i want to forecast next 6 months revenue for each of these 3000 customers. Does that mean i have to build 3000 arima models 1 for each customer? I can build a ...
4
votes
1answer
29 views

Understanding fractional-differencing formula

I have a time series $y_t$ and I would like to model it as an ARFIMA (a.k.a. FARIMA) process. If $y_t$ is integrated of (fractional) order $d$, I would like to fractionally-difference it to make it ...
4
votes
1answer
47 views

Ljung-Box always significant for ARIMA models - what now?

Sorry in advance if this is too basic of a question - I've been struggling with this data set for almost a month and feel like I'm going in circles, and the more I Google the more confused I get. I ...
0
votes
1answer
34 views

How to fit an ARIMA model with seasonality in R? [closed]

I have a set of monthly data and detected seasonality. The ACF and PACF is shown below. How can I set c=(p,d,q) for non-seasonal part and c=(P,D,Q) for seasonal part based on the figures.
1
vote
1answer
70 views

What is the best filter/way for deseasonalizing quarterly data?

There are many deseasonalization techniques for deseasonalizing quarterly time series data: 1. Filter: Centered moving averages 2. Filter/way: automatic ARIMA selection using X-11-Auto , X-11 based ...
17
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4answers
490 views

Is this an appropriate method to test for seasonal effects in suicide count data?

I have 17 years (1995 to 2011) of death certificate data related to suicide deaths for a state in the U.S. There is a lot of mythology out there about suicides and the months/seasons, much of it ...
2
votes
1answer
58 views

Forecasting daily visits using ARIMA with external regressors

I have daily visitors data for the last 10 years. I want to do some basic tests like which is the busiest day, which is the busiest month, busiest week etc. I used ...
1
vote
1answer
43 views

deseasonalizing multiple series (more than 200 variables)

I'm trying to produce deseasonalization for multiple series using x-12 ARIMA (as an alternative, if you can manage, you also could provide an idea with other methods, such as x-13 ARIMA). The thing is ...
2
votes
2answers
109 views

Estimate statistical significance of a feature in a time series

I have a set of time series with events marked in the middle. Following the event there is a temporary dip in the series values followed by a peak so that the area under the curve is 0. ...
1
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0answers
26 views

Using post intervention data to develop noise model in the method of intervention analysis

I am currently doing a project that employs intervention analysis. I understand that we are supposed to use the pre-intervention data to formulate a noise model. However, Walter Enders said in his ...
4
votes
1answer
63 views

non-normal residuals in ARIMA

I am trying to fit an ARIMA model and I have already evaluated a few variations which I finally selected ARIMA(1,1,3) model. The residuals seems to be uncorrelated and all the lags are significant. ...
0
votes
1answer
42 views

Season dummies in R [closed]

I have heating power data from one year (8670 observations). I also have regressors for day length and temperature (8670 observations also). I would like to add seasonality with 24h (1 day) 168h (1 ...
0
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0answers
25 views

Information criteria for ARIMA model: missing log-likelihood for null model

I am trying to fit an ARIMA model on the time series of exchange rate. I have tried several kinds of ARIMA specifications (MA(1), MA(1,2), ...) and I am evaluating the particular setting according to ...
1
vote
2answers
52 views

SAS ARIMA forecast estimate statement

Im trying to forecast a timeseries (daily intervals) but I am unsure of the syntax of the estimate statement. I know p is for autoregression and ...
0
votes
0answers
29 views

What is the logic behind using Adstock VS VAR style lag analysis for marketing mix models?

I'd like to discern why the adstock transformation is the default method to introduce lagged influence of prior time points i marketing mix models over a standard linear method as in VAR? I understand ...
1
vote
0answers
25 views

Estimation of fractional order of integration in ARFIMA model

I wish to model monthly EUR/USD exchange rate by an ARFIMA($p,d,q$) model. My question is, how to determine the $d$ parameter of this model?
2
votes
1answer
92 views

Interpretation of ARIMA with xreg in R

I've fitted a model with auto arima, with independent variables with the below codes: ...
0
votes
1answer
38 views

Identify ARIMA model

I have a question regarding identify ARIMA. Is ARIMA(1,0,1) same as ARMA(1,1)? Also $Y_t = 2Y_{t-1}-Y_{t-2}+e_t$ Is this both ARIMA(0,1,1) and IMA(1,1)? Then if I were to ask identify ARIMA, is this ...
0
votes
1answer
97 views

ARIMA: How to interpret MAPE?

I am using the forecast package in R to generate an ARIMA model for my data. I started with the auto.arima function for a try and got a ARIMA(1,1,2) model. ...
1
vote
0answers
40 views

Which method to use for load forecasting

I have smart meter data set that has consumption readings collected over a year and a half for every 30 mins. What I am trying to do is short term load forecasting. The data set has just three columns ...
1
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0answers
17 views

arima() and Arima() function [closed]

i'm referring to https://www.otexts.org/fpp/8/7 what is the difference between arima() and Arima() function in r? when to use these functions?
0
votes
1answer
37 views

How to validate random walk model

I am studying ARIMA models and find it hard to validate the model in terms of "it's a good, useful model" and "I shouldn't use that model for prediction". So at first I started with the easiest ...
2
votes
2answers
121 views

PACF for MA(1) process

I have MA(1) process: $X_t=\epsilon_t+\theta\epsilon_{t-1}$ I want to prove the equation for PACF for $n\geq2$ $\alpha(n)=\phi_{nn} = \frac{\theta^n(-1)^{n+1}}{1+\theta^2+...+\theta^{2n}}$ I found ...
8
votes
2answers
490 views

Timeseries analysis procedure and methods using R

I am working on a small project where we are trying to predict the prices of commodities (Oil, Aluminium, Tin, etc.) for the next 6 months. I have 12 such variables to predict and I have data from ...
1
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0answers
34 views

Arima modeling with limited data

Our 250 weekly datapoints are shown in the figure, along with correlograms of 1st differences. Are we correct to conclude, from overdifferenced correlogram, that for this process we should have much ...
0
votes
0answers
25 views

the decision of being White noise on e-view

And for example, let's take SMA(2) model in this table does there exist white noise ? Which value I observe to decide the existance of white noise? Please explain it. Thank you
0
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0answers
56 views

White noise ACF - PACF

I found PACF and ACF like the following table . But, how can I decide whether there exists white noise? And what is white noise? If there is no white noise, can I say being stationary?
0
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0answers
38 views

Arima Models Diagnostics

I'm doing a forecasting using seasonal ARIMA method. I'm using astsa package in r and I'm testing two models that I can't decide which one is better to use than the other The ACf and PACF for the ...
2
votes
1answer
83 views

ARIMA Specification from Correlogram

How should I determine the data generating process from the correlogram below? This is non-seasonally adjusted monthly data that has been 1st differenced. I am trying to conduct univariate time ...
1
vote
1answer
67 views

Issues in auto.arima algorithm when using external regressors and outlier correction

auto.arima is an automatic arima modeling function in forecast package in R that uses information criterion(example: AIC/BIC) to ...
0
votes
1answer
36 views

No ARIMA, No GARCH, which model?

I am trying to fit a model for a data set. The acf and pacf, after differentiating the data are: The acf shows that the returns appeared to be random. According to them seems like the ARIMA model ...
2
votes
2answers
119 views

Unable to get suitable forecast for ARIMA model in R due to outliers— attached code for easy replication

Using the attached data that has been recently updated I am not able to obtain a statistically significant forecast. The data is extremely seasonal. The data is stored here for easy replication: ...
4
votes
3answers
181 views

Is there a way to allow seasonality in regression coefficients?

Hi I am newbie here and hopefully this is not a dumb question. Say I have a time series, Gt, and a covariate Bt. I want to find relationship between them by the ARMA model: Gt = Zt + β0 + ...
0
votes
0answers
27 views

How to forecat a ARMAX model with 1 step ahead forecast in R?

I have divided my time series to 2 parts and I have used first part Y1TS[1:n2] for model fitting and Y1TS[n2:n1] for forecasting ...
0
votes
0answers
36 views

Comparison between ARIMA and ETS models

I have a time series that I'm fitting models to, using R. I have chosen an ARIMA model based on minimising the AIC_C values. The ETS model (ets()) was chosen based on minimising the model accuracy ...
3
votes
1answer
71 views

ARIMA predictions constant

I've created an Arima model based on past forex closing prices using auto arima, which has generated a (0,1,0) ARIMA model. ...
3
votes
1answer
108 views

Distinguish an ARMA and an ARIMA model graphically

I'm currently analyzing some time series data and I need to know how to distinguish an ARMA model from an ARIMA model just by looking at the auto-correlation function and partial auto-correlation ...