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
47 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
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1answer
27 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
101 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
24 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
46 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
37 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
17 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
43 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
15 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
20 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
79 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
33 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
56 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
34 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
vote
0answers
15 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
35 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
101 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
425 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
vote
0answers
18 views

Estimating ARIMA models in SAS [migrated]

I would like to (insert "have to") do some ARIMA modeling in SAS. Normally, I would simply use auto.arima in R and let the function choose the differencing orders and just specify whether to use AICc ...
1
vote
0answers
32 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
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0answers
24 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
43 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
votes
0answers
27 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
68 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
54 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
31 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
112 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
173 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
24 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
30 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
67 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
101 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 ...
1
vote
0answers
39 views

Optimizing a time-series with multiple predictors

I have a few questions about turing a univariate time series into a multivariate time series and optimizing the predictors. Here is the univariate data: ...
0
votes
0answers
32 views

Find Arima equation using auto.arima, daily long-term data (msts), 3 seasonal regressors, and calculating K in fourier

I am working with daily data (variables include: temperature, salinity, wind, etc...) from 2002-2013 (msts), and I want to identify the ARIMA equation describing ...
5
votes
1answer
40 views

why the non-seasonal and seasonal parts are multiplied in ARIMA models?

I would like to understand why the non-seasonal and seasonal parts are multiplied in Seasonal ARIMA models. To be more specific: when we use the Seasonal ARIMA model we assume a multiplicative ...
3
votes
0answers
46 views

Maximum value of d in ARIMA model

I am trying to model a data series using ARIMA model. The series seems non stationary because the acf decays very gradually.Even after differencing two times, the values of p and q are coming as high ...
2
votes
2answers
41 views

How does auto.arima deal with the a leap year in R?

For data at a weekly level, I'm giving frequency as 52 for the auto.arima function. What happens when a year has 53 weeks? How does it affect the forecast?
2
votes
1answer
104 views

Why is the arima function giving odd answers

I have a problem in interpreting what the arima function in R is doing. I have the following code: ...
1
vote
1answer
134 views

ARIMA equation interpretation

I'm trying to replicate ARIMA (1,0,1)(1,0,1) equation in excel as a formula but I am not able to understand the interpretation of white noise residual e(t) or u(t).If could help me understand the ...
0
votes
0answers
51 views

Fourier vs ARIMA vs Factor analysis vs PCA?

Background I'm currently analysing a timeseries. My data consists of half hourly observations of a certain measurement. This data is human generated, and so we believe there will be daily, or weekly, ...
3
votes
2answers
273 views

What exactly is Box-Jenkins method for ARIMA process

The Wikipedia page says that Box Jenkins is a method of fitting an ARIMA model to a time series. Now, if I want to fit an ARIMA model to a time series, I will open up SAS, call proc ARIMA , supply the ...
2
votes
1answer
131 views

use ARIMA models to predict stock prices

Are there any books or compilation of research papers that discuss application of ARIMA models to forecast prices in financial markets I.e stocks,commodities,futures,options etc. I found this one but ...
3
votes
1answer
41 views

Forecasting a transformed time series

I have fitted a seasonal ARIMA model using R to a log transformed times series which I called lnseries. I can forecast fine for the transformed time series (...
1
vote
0answers
27 views

Different values predicted by OLS model and Time Series model

Let us say , I have an explanatory variable X and a dependent variable Y and I use OLS and find Y = 0.5 + 3X. Now let us assume that both X and Y are time series data, so using ARIMA modelling ...
3
votes
0answers
46 views

Seasonal ARIMA Forecast

I'm studying ARIMA at the moment with application to seasonal data sets. R lets you forecast using selected models but I'm just wondering what formula is used to compute these forecasts. For example, ...
1
vote
1answer
104 views

Choosing the right ARIMA model in MATLAB

I have a problem regarding choosing the right model for historical data that I need to forecast. when drawing the ACF and PACf, a clear seasonality appears at lag 24 as you can see in the figure: I ...
2
votes
1answer
134 views

Does dummy interention variable (pulse or step) must be differenced when it is added to ARIMA model?

I have read some opinions from this forum and from other sources that when the dependent variable in any from of ARIMA model (whether ARIMA errors, ARIMAX or transfer function)is differenced, you ...
2
votes
1answer
123 views

How to “undifference” a time series variable

I need to "undifference" or "integrate" a time series variable. In its current state, it is twice-differenced (a money market, cash return proxy variable that was I(2) to achieve stationarity). I ...
0
votes
1answer
29 views

Seasonal ARIMA with Exogenous varibales [closed]

Can somebody help me out with Seasonal ARIMA equation for model (1,0,1) (1,0,1)
1
vote
0answers
27 views

If peak was higher than normal, why does updated arima model overestimate activity in remaining time series?

I have a number of time series with strong seasonality and I am using auto.arima() from R's Forecast package along with Fourier and dummy/explanatory variables to address the seasonality to make ...