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

How to compare forecasting methods: based on ARIMA and curve fitting?

I'm making a project connected with identifying the dynamics of sales. My database concerns 26 weeks (so equally in 26 time-series observations) after launching the product. I want to make forecast ...
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1answer
30 views

Representation of ARMA processes

Question Consider the following process: $$2y_t-3y_{t-1}+y_{t-2}=\epsilon_t-\theta\epsilon_{t-1}$$ What is the model for the process $w_t=\Delta y_t = y_t-y_{t-1}$? Attempt I have solved the ...
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43 views

What is the difference between forecasting based on ARIMA and logistic curve? R

I'm making a project connected with identifying the dynamics of sales. My database concerns 26 weeks (so equally in 26 time-series observations) after launching the product. This is what my database ...
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0answers
33 views

Is ARIMA model appropriate for this dental research?

Please, I have a doubt in my study for doctoral thesis… Title: “Development of a thermal cycling protocol for dental materials”. Objective: to create a protocol for thermal aging, from measurements ...
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2answers
43 views

which model should I use in order to represent stock market price from theoretical perspective?

I am studying my lecture notes where I saw this: $Y_t=Y_{t-1} +u_t$ $Y_t=0.5* Y_{t-1} +u_t$ $y_t=0.8* u_{t-1}+u_t$ The first two models are AR(1) and the third one is an MA(1) model. In the ...
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1answer
52 views

Understanding ACF - PCF Plots of ARIMA model

I used auto.arima function of R software to get following order of arima model: ARIMA(2,0,2). Then I used the following commands on my data to generate ACF and ...
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14 views

problems using arima model

Forgive me for my lack of knowledge. but i am having troubles using arima model in e views. I don't know how to include independent(control) variable in my regression expression. th model i am using ...
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1answer
33 views

What time series model should be used?

Given the following daily time series data I have used auto.arima in R to build a model. I used freq = 5 because the data is collected only on weekdays (Monday ...
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14 views

High Ljung-Box p-values at large lags

I am trying fit an ARIMA model to stock returns. I have reached a decent model using the AIC criterion. However, the ljung-box p value under a diagnostic plots are pretty weird. The null ...
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1answer
30 views

Want to make a function which allows for recursive window forecasting

I have been looking for a function that can make recursive window out-of-sample forecasts, but seems there is none. So I'm thinking about about making a function that can be used for recursive window ...
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24 views

(R) Automatically calculate optimized Arima(p, d , q) value [migrated]

I'm developing automatic forecast Software with JAVA & R. The following steps are used in R to forecast next 18 values: ...
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1answer
46 views

ARIMA SARIMA model mathematical formula

I need help writing a SARIMA model I have obtained mathematically. My model is ARIMA(1,0,4)(2,0,2) period 12. I understand what the different parts actually mean but get very lost trying to write ...
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32 views

How to forecast a Markov Switching Model

I have the following Markov Switching Model. Transition Matrix: $$ \left[\begin{matrix} 0.85387 & 0.91973\\0.14613 & 0.080265 \end{matrix}\right] $$ With Regime 1: Intercept: 0.00839 ...
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0answers
38 views

over estimating ARIMA model

When an ARIMA model over estimates, i.e if the forecast from the model is always higher than the actual value, what's the cause? The model i used was SARIMA (1,1,0)x(1,0,0). Below is the time series ...
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44 views

Time series and stationnarity tests

I perform some time series fitting with the help of the forecast and urca packages. I have a question regarding the correspondance between results coming from statistical test such as KPSS, ADF or ...
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0answers
6 views

automation code for dynamice regression with arima in r [migrated]

I want to make automation code for dynamic regression with arima..where i just have to insert dataset and all calculation will be done automatically and store model,graphs,MAPE,etc below are the ...
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1answer
32 views

Estimation of residual in ARIMA model

How do I estimate the residual $\varepsilon_{t}$ of a Seasonal ARIMA model $\hat{Y}_t=\hat{\phi}{Y}_{t-1}+\hat{\Phi}{Y}_{t-12}+\varepsilon_{t}$? If the MSE is 0.114, what does it mean?
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1answer
47 views

Separating Base and Promotional Volume

I am working on a project where I have to separate base and promotional volume from the sales data. I have sales data for the last 4 years at week level. How can I separate base and promotional volume ...
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0answers
27 views

Arima modelling estimate in SAS and find out if model is adequate or not

I have been attempting to do an ARIMA modelling in SAS. The series is not stationary but when I estimate the ACF and PACF p-values I don't get appropriate answers to find out if my model is adequate ...
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0answers
46 views

ARIMAX for modelling daily sales

I am trying to model daily sales for a take out restaurant. They are only open on business days - no holidays or weekends - as their primary clients are office workers on their lunch breaks. Below is ...
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1answer
24 views

ARIMA model parameter

For the ARIMA (0,0,1) model, some books write the equation as $$Z_t = \mu - \theta Z_{t-1}$$ whereas some books write the equation as $$Z_t = \mu + \theta Z_{t-1}$$ Why is there either a negative ...
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116 views

Forecasting daily data with trend, yearly, day of the week, and moving holiday effects

I'm expanding a question I posed earlier because I think it was lacking detail. I'm attempting to forecast daily demand for a restaurant that sells take away food, primarily to office workers on ...
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1answer
50 views

Warning message in auto.arima

I am using auto.arima() for prediction, and getting the following warning message. I want to know if I can ignore this warning message or if I should be worried. ...
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1answer
15 views

Calculating phi11 (or phi22) from an MA(1) process

I've come across a question where I have an MA(1) process like so: $X_t = b_t - 0.4 b_{t-1}$ (where $b_t$ is a white noise process and $t$ is the time index) The question asks me to find $\phi_{11}$ ...
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1answer
22 views

Regression with TBATS error?

I'm working on a time series model which includes multiple seasonal components (daily and weekly). I believe the best way to approach this would be BATS/TBATS model, however I have a concern if I can ...
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1answer
104 views

How do I interpret regression coefficients with autocorrelated residuals?

I am building a regression model of time series data in R, where my primary interest is the coefficients of the independent variables. The data exhibit strong seasonality with a trend. The model ...
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0answers
23 views

Combining ARIMA models

I have $n$ ARIMA(1,1,1) models. $Y(t)= \mu + Y(t-1) + \phi(Y(t-1)-Y(t-2))-\theta\epsilon(t-1)$ They are all trained on different blocks of data for the same univariate time series. Now I get a list ...
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1answer
75 views

help on how to include term $\exp(β_t)/(1+\exp(β_t))$ in AR(2) model

I am trying to include a term in an AR(2) model: $$Y_t=\left( a_0+a_1 \frac{\exp(\beta_t)}{1+\exp(\beta_t)}\right)Y_{t-1}+bY_{t-2}+\delta\epsilon_t$$ Can anyone please help me with this? I don't seem ...
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1answer
39 views

Why are fitted values different from one-step ahead forecasts?

Let's say I fit an ARIMA model on a time series up to date t. I want to forecast the 10 next values without refitting the model but also using the latest data available for each date. So forecast ...
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0answers
33 views

Dynamic regression and Panel Models

Would I use the same type of multiple regression approach to build a forecast model for sales in one region as I would if I wanted to forecast sales in 5 regions. I was told that I should use an ARIMA ...
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0answers
11 views

SARIMA (1,1,0)x(1,0,0) [duplicate]

Can anyone please write out the model of the ARIMA(1,1,0)x(1,0,0) with AR(1) coef 0.0902 SAR(12) coef 0.107 constant 0.15. Am really confused with how the model should look like
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2answers
80 views

How to put an exogenous variable into the ARIMA model?

I don't know how to put my exogenous variable in ARIMA model. I use number of tourists ('number of torism' below) in an ARIMA model and 'CLI_Index' for exogenous variable My code in R: ...
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0answers
33 views

Using fitted ARIMA model to forecast new time series

I'm new to ARIMA analysis and I'm trying to understand how fitted ARIMA model can be used to forecast new time series, given starting point only. Should the model be refitted or the estimated ...
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0answers
21 views

Estimation/Calculation of intercept with ARIMA model after differentiating

I am performing regression with ARIMA model because of autocorrelation of my data. My data are the concentration of air in the workplace and gathered by real time monitor with interval of 1 minute. I ...
4
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3answers
252 views

Performing a time series ARIMA model on natural gas power demand using the forecast package from R

I've been attempting to forecast natural gas power demand and how it is affected by temperature and price. I'm not sure if I have done everything correctly (relatively new to R), but I do seem to get ...
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1answer
35 views

Fitting a reduced-form MA(3) time series model in R

I am trying to fit an ARIMA model for a certain financial time series. I've used EViews for modeling, and have decided to fit a so-called reduced-form MA(3) model, where only the third lag is ...
2
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1answer
45 views

R auto.arima() with non-stationary covariates

I want to fit an ARMA model with covariates to a non-stationary time series. I have daily measurements for water flow for 4 stations (S1-S4) and the time series is not stationary, so I will have to ...
3
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0answers
55 views

What are the stationarity requirements of using regression with ARIMA errors for inference?

What are the stationarity requirements of using regression with ARIMA errors (dynamic regression) for inference? Specifically, I have a non-stationary continuous outcome variable $y$, a ...
1
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1answer
163 views

Errors in optim when fitting arima model in R

I'm using the arima method of stats package of R with my time series of 17376 elements. My goal is to get the value of the AIC criterion, I 've observed in my first test this: ...
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2answers
96 views

Difficulty with auto.arima function results

I am new to R and the ARIMA model and I am attemping to forecast 1440 values into the future using a base of roughly 5000 numbers. It is data extracted roughly every minute from a machine ...
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0answers
47 views

Distribution fitting (maximum likelihood) for autocorrelated data

I have some time series data that shows autocorrelation and seasonality. I want to fit a distribution to it. To use maximum likelihood it needs to be uncorrelated. I first fit a GARCH and an ARIMA ...
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4answers
72 views

Time series analysis for 2 series where one is dependent on another

If I have two time series $A$ and $B$. $A$ is dependent on $B$. I want to forecast future values of $B$. What statistical techniques should I learn and try? As an example consider a time series of ...
2
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6answers
191 views

Good references for time series?

I am wondering if anyone has book references for time series. I would like something comparable (in popularity) to the 'ESL' or to 'Machine learning' from Murphy in the machine learning field. Does ...
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0answers
41 views

Prediction intervals predict.Arima r

I would like to ask how the long-term (multiple step ahead) prediction intervals are calculated by function predict.Arima in R. I am particularly interested in ...
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1answer
46 views

ARIMAX model's exogenous components?

Does anyone know, considering an ARIMAX model that fitting a stationary process Y, then does the exogenous components for the model need to (weakly) stationary? I think exogenous components can be ...
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1answer
63 views

How to extract values of the forecasted times series of auto.arima

I'm working actually on the modeling of times series with auto.arima from package forecasts. But i enconter some problems regarding the extraction of values Lo 80, Hi 80, Lo 95, Hi 95 singularly. I ...
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1answer
46 views

Forecast model developed now, but only used later, is it still valid?

I am not sure what the appropriate title for my question is, so I am open to suggestion/correction. Now, the question: I observed a daily series $X_t, t=1,...,T$ also series $Y_t, t=1,...,T$. ...
3
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1answer
77 views

How To Write Seasonal ARIMA model mathematically

I'm trying to write a seasonal ARIMA model ARIMA(1,0,3)(1,2,0) period 5 mathematically but I don't seem to be able to follow what this resource is saying otexts arima The example they use is ...
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1answer
80 views

Solving for arima and exponential smoothing coefficients

I am looking to How do you solve for the optimum values with the lowest MSE for the coefficients and dampening constant in exponential smoothing and ARIMA models? What are the equation used?
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105 views

R - ARIMA model with long seasonal periods - Error: “length of x and xreg does not match”

i want to use an ARIMA model in R for predicting an electrical load on a minutely basis. By examining the ACF I figured out which model could suit. The ACF has shown that the value one day ahead has a ...