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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12 views

ARIMA forecast with auto.arima() and xreg [migrated]

I have a time series data y with some external regressors x1,x2,x3. For this time serie I need to do forecasting over 5 years. I did the following. ...
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1answer
12 views

ARIMA with high frequency data of only one month

I'm analyzing some data I collected for 4 weeks I would like to correlate a dependent variable ($y$) to other 10 independent metereological variables ($x_1, \dots, x_{10}$). ARIMA was suggested as ...
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8 views

Time-varying predictive model for a set of proportions

Suppose there is a casino where people bet on a weekly horse race. On Sunday, the casino publishes the prices for a wager on each horse for the upcoming Saturday's race. Everyone who wagers on the ...
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18 views

ETS or ARIMA model

I have a time series data set and want to predict my data in the future. I would like to when to use a ETS or an ARIMA model? Is is true that you can only use a ETS model when a data is ...
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1answer
5 views

Residuals of SARIMA follow Student's $t$ distribution - implications?

I have fitted a SARIMA model to my time series. The diagnostics of the residuals are all good (ACF, PACF, ...), i.e. it seems they behave like white noise. But when I plot the normal qq-plot, they ...
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6 views

Get residuals from real data and estimated arima model in matlab [on hold]

I need to estimate ARIMA model parameters and get residuals from the real data and the ARIMA model. Is the infer right function to do that? Currently I am doing this: ...
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20 views

Error fitting ARMA model with xreg [on hold]

I'm trying to fit an ARMA-model with regressors (xreg) with the following code: fit The xreg-matrix contains 18 columns with ...
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24 views

Obtaining $T$ residuals from AR($p$) model

I have my estimates for an AR(3). To obtain the residuals I'm supposed to use $$Y_t-\hat\phi_0-\hat\phi_1Y_{t-1}-\hat\phi_2Y_{t-2}-\hat\phi_3Y_{t-3},$$ where the $Y$'s are from the dataset. If I ...
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1answer
33 views

Testing intervention for a random walk using ARIMAX model

I am trying to analyze whether the intervention has an causal effect on $Y_{t}$. By ACF and PACF, it looks like the data is a random walk. I further use an ARIMAX model to examine the effect of the ...
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3answers
111 views

Seasonality not taken account of in `auto.arima()`

I am having basically the same issue than in this thread, except one thing: The difference, in my case, is that my data is measured weekly and not daily, so the argument of a too high seasonality (> ...
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2answers
45 views

Forecasting with multiple predictors and with multiple seasonalities in R

I have half-hourly electricity data of several homes for a duration of one month. Also, I have ambient temperature at same sampling rate. Now, I need to make half-hourly forecasts using historical ...
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0answers
13 views

Parallel processing in ARIMA [migrated]

I have one month half-hourly data (48 readings per day). Using auto.arima() of R forecast package, I forecast the readings of ...
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24 views

Error in optim: non-finite value value supplied by optim [closed]

I have a large dataset which I want to model with a ARMA-model with 18 different parameters as regressors (zeros and ones). fit Now I get the following error: Error in optim: non-finite value ...
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1answer
16 views

How is mean calculated in ARIMA models?

I am currently working with ARIMA models and I am a little confused about the way they are formulated. I found Rob J. Hyndman's blog post "Constants and ARIMA models in R" explaining it. But still, ...
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0answers
19 views

ARIMA model over- or underfitting: compare training and validation performance

I'm doing research using seasonal and nonseasonal ARIMA models. Here's the result of model identification: Based on many sources, Your model is overfitting your training data when you see that ...
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1answer
29 views

Mention day-wise seasonality for forecasting in ARIMA using R

I have half-hourly electricity data of several homes for a duration of one month. This data is represented in xts time-series format. Now, I need to make ...
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1answer
67 views

Choosing the right ARIMA model when data are already seasonally adjusted

I'm trying to build an ARIMA model to forecast the US unemployment rate month-by-month for the period 2006-2015. To select the model I'm using monthly seasonally adjusted data from 1948 to November ...
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1answer
27 views

ARMA model selection: in-sample vs. out-sample accuracy measures

I have a time series for 1000 days for many firms. I am interested to know, in general, on what basis I should select an ARMA model (the nature of my problem restricts integration order to 0). Should ...
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1answer
16 views

Which MA(q) to use for hourly data in Time Series decomposition?

I am trying to do a Time Series decomposition manually (I don't wanna use one of those R packages that give you all already done). I have already removed the mean from my TS by dividing the TS by its ...
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0answers
7 views

R Why auto.arima omits arima(0,1,0)(0,1,0)[6]? [duplicate]

auto.arima gives me that the best model is arima(0,1,0). But using Arima and fitting ...
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0answers
18 views

ARIMA(0,1,1) vs Neural network

I obtained an ARIMA(0,1,1) model for a univariate time series. Now I want to apply Neural Nets as an alternative in order to obtain even better forecast. Do you have some suggestion for neural net ...
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0answers
11 views

Generating the same ARMA(1,1) sequence with different parameters

If I have two ARMA(1,1) processes with different sets of parameters, then what are the conditions so that I can get indistinguishable ARMA(1,1) sequences?
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24 views

How to fit a short time series model using ARIMA?

I want to make predictions use ARIMA in forecast package. I find that basically the prediction is just a lag of the actuals. Is there any way that I can better fit the model or any other approach ...
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1answer
17 views

ARIMA Time series forecasting in R, help on choosing adequate model

I am trying to create adequate time series model in R. I have doubt about adequacy. My data is year and total number of events: ...
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1answer
58 views

Autocorrelated residuals from `auto.arima`

I'm having issues with the residuals of my ARIMA models in R for two time series. When I run the Ljung-Box test on the residuals, I get that I should reject the null (i.e. my residuals still have some ...
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33 views

One Step Ahead with a forecast horizon of 25

I have 288 data points of the Wolf's sunspot data for the years 1700 to 1987. I need to predict one step ahead forecasts for a forecast horizon of 25. I kept the last 25 data points of the time ...
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15 views

Is there a way to force seasonality from auto.arima [migrated]

With the forecast package, I have a time series that I would like ?auto.arima to automatically pick the orders but I would like ...
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1answer
37 views

Time Series forecasting with useful predictor variables

I am playing with time series data related to a issue ticketing system. The system logs all open tickets at any one point and my task is to predict what the volume of open tickets will be in 5,10,15 ...
3
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1answer
25 views

Standard errors `NaN` by `Arima` function in R

I'm working with a time series of 59 elements. I'm wondering why the R function, Arima, throws an NaN for the standard errors of ...
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0answers
19 views

Optim error training ARIMA model in R [duplicate]

I have the code below which trains ARIMA models for a range of order combinations. I'm getting the error below in the step training the ARIMA models. The code worked just fine with the ...
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0answers
15 views

How to write the equation for ARIMA(0,0,1)(1,0,0) with exogenous regressors?

How I should write the equation for this ARIMA(0,0,1)(1,0,0) based on this SPSS parameter output? What if it is an ARIMA (0,0,0) or ARIMA (1,0,0) with the same variables? The independent variables ...
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2answers
49 views

R auto.arima with intervention: intervention only affects one point

I have a model fitted with auto.arima, the model is ARIMA(0,1,0)x(0,1,0)[6] with seasonal period 6. The data is bi-monthly so there is an annual seasonality. There ...
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1answer
46 views

Fitting Methods in Arima

Could someone please explain the differences between the 3 fitting methods, method = c("CSS-ML", "ML", "CSS"), in Arima? If I run the code below I get an error message, but if I specify method="ML" ...
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32 views

ARMA when ARIMA should be used

(Note: I am taking a first course in time series -- correct me where I am wrong.) What happens when we fit an ARMA model to a time series when a differenced model (ARIMA with nontrivial $d$), should ...
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0answers
21 views

Reg-Arima fitted estimates more flexible than forecast

I am fitting a regression model with ARMA errors, and comparing its fitted and forecasted values with a linear regression. I am wondering why a reg-ARMA appears to have a much better fitted estimate ...
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0answers
41 views

More effective seasonal adjustment to time series data?

I am trying to predict surface temperature using solar energy. I have 3650 daily averages for both variables. The plots of both are below: I attempt to seasonally adjust with a periodic ...
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0answers
18 views

How do you create an ARIMA model with year wise regressors?

I am trying to understand how discontinuations in products have an effect on sales volume. I have a sales variable and information on product discontinuation sales volume by month and year. For ...
3
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1answer
37 views

How is the first residual calculated in a fitted AR(1) model?

I am trying to figure out how the first residual is calculated in an AR(1) model. It's easy to generate all of the other residuals, but I have no idea how r calculates the first one. Here is an ...
3
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1answer
38 views

Selecting ARIMA Order using Rolling Forecast

I'm wondering if a rolling forecast technique like the ones mentioned in Rob Hyndman's blogs, and the example below, could be used to select the order for an ARIMA model? In the examples I've looked ...
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1answer
39 views

Historical data appears seasonal, but forecasts from auto.arima are linear

I am surprised how often the auto.arima function from the "forecast" package in R returns straight linear forecasts when there appears to be fairly strong ...
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2answers
448 views

Is every ARIMA(1,1,0) model equivalent to an AR(2) model?

Assume I have a time series $ x_t $ that I want to fit using an ARIMA(1,1,0) model of the form: $ \Delta x_t = \alpha \Delta x_{t-1} + w_t $ This could be rewritten as: $ x_t - x_{t-1} = ...
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1answer
29 views

Rolling Forecast Re-training Step Concept

I'm trying to understand the steps in Rob Hyndman's Multi-step forecasts without re-estimation example below. I'm wondering what the purpose is of ...
2
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1answer
13 views

Interpretation of external regression coefficient in linear regression with ARMA errors

I am fitting a linear regression model $y_t = b\times x_t + u_t$ with ARMA errors $u_t$. Is the interpretation of $b$ the same as in usual linear regression?
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8 views

Forecasting Call Center Wait time with Unknown Staff Levels

I am trying to forecast the median wait time each hour for a customer to get served in a call center. I know the median wait times each hour and the number of customers who called in each hour ...
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1answer
40 views

Constructing Deterministic Trend and AR(1) and Forecasting in R

I am trying to implement/generate a process using arima.sim like this: $Y_t = a + b*t + \epsilon_t$, where $\epsilon_t = \phi\epsilon_{t-1}+\gamma_t$ a AR(1) ...
2
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1answer
36 views

auto.arima Not Minimizing AIC

I simulated a MA(3) process using: ...
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1answer
26 views

Question about rolling forecast horizon

I'm trying to understand how the rolling forecast example below from Rob Hyndman's blog works. In the final line of the for loop, is ...
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1answer
40 views

Are rolling forecasts more accurate that full-sample forecasts?

I compared the auto.arima forecast checkts below to the rolling forecast fc and noticed ...
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1answer
23 views

Very different prediction intervals from ARIMA models where MA order differs by 1

I have fit an ARIMA model to a time series with function auto.arima from "forecast" package in R. I wanted to check prediction intervals for robustness by changing ...
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1answer
52 views

How to set the prediction range of ARIMA model in R

I am new to R and statistics. I have a problem related to the prediction: I am not able to plot the real value together with the predicted value. PROBLEM: I want to feed first 16 values into the ...