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.
0
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1answer
52 views
Which is the better method to do forecast..1-step or h-step ahead?
I am using forecast() package in R to predict future values. I have a time series data
for approx 6-7 years.
First, I split the data into training set and test
set. Test set contained values of the ...
0
votes
0answers
42 views
ARIMA forecasting with external regressors
I am trying to build ARMAX models using auto.arima. I have a time series to forecast (weekly and monthly seasonality, I've put the ts() frequency=7), another two time series as external regressors, ...
2
votes
1answer
82 views
Which is the best accuracy measuring criteria among rmse, mae & mape?
I have created training set and test set from my data. Then I performed auto.arima() and ets() in R on the training set to predict one-step ahead forecasts. These were then compared with the test set ...
2
votes
0answers
46 views
Best practices for dealing with shifting, inconsistent seasonality
This question is related to a previous post I've looked at (Calculation of seasonality indexes for complex seasonality), but deals with more granular data (daily instead of weekly), and transforming ...
2
votes
0answers
39 views
Dummy variables for time series
I'm a new user on R. I'm stuck on my times series research currently with the some questions. Not sure anyone can help me.
Dummy variable.
I wanted to add more than 1 dummy variable in the model. ...
0
votes
1answer
36 views
Exogeneous regressors in auto.arima and using them in forecast function in R
I'm trying to forecast a seasonal time series based on its historical values, and also two more time series (that are seasonal themselves.)
I'm trying to use an auto.arima, and I'm going to input ...
0
votes
0answers
35 views
Identification of Integer valued ARIMA process, INARIMA
I was wondering if there is any tools like R that can be used to identify the Integer valued ARIMA process? I know that using forecast package in R we can identify the ARIMA process , is there any ...
4
votes
1answer
119 views
Time Series Forecasting with Daily Data: ARIMA with regressor
I'm using a daily time series of sales data that contains about 2 years of daily data points. Based on some of the online-tutorials / examples I tried to identify the seasonality in the data. It seems ...
1
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0answers
21 views
Interpretation of error term in Moving Average (ARIMA)
I have an elementary question regarding the error term in MA (ARIMA)--
From where does this error term come from?
From what I understood from the question raised earlier in the following link: ...
3
votes
1answer
72 views
Variance of a time series fitted to an ARIMA model
I think this is a basic question, but maybe I am confusing the concepts.
Suppose I fit an ARIMA model to a time series using, for example, the function auto.arima() in the R forecast package. The ...
1
vote
1answer
78 views
Why are MA(q) time series models called “moving averages”?
When I read "moving average" in relation to a time series, I think something like $\frac{(x_{t-1} + x_{t-2} + x_{t-3})}3$, or perhaps a weighted average like $0.5x_{t-1} + 0.3x_{t-2} + 0.2x_{t-3}$. ...
0
votes
1answer
86 views
ARIMA model fitting and forecasting implementation
I am new to time series modelling and I am trying to build a simple time series model using ARIMA methodology and forecast. I could write an R program to do the same, but I am more interested in ...
4
votes
1answer
39 views
What do you consider a new model versus an updated model (time series)?
I am having some issues explaining to [non-statistician] people that it is natural to revise the parameters of a time series (ARIMA) model if you update the model with new data (add new actual values ...
4
votes
2answers
101 views
ARIMA — Residual autocorrelation is non-significant upto lag 6 and significant beyond lag 6
I tried to fit an AR(1) model and was examining the estimates of the model. I had a question on the output (ran in SAS - Proc ARIMA):
The residual auto-correlation up to lag 6 was non-significant (in ...
0
votes
0answers
41 views
Seasonality Period in ARIMA function in R - How to Interpret
I've used the ARIMA function in R to fit my data to the best possible model. My data consists of daily information and there ...
1
vote
0answers
17 views
T values of ARIMA parameter estimates
The SAS proc ARIMA documentation states that "The t values reported in the table of parameter estimates are approximations whose accuracy depends on the validity of the model, the nature of the model, ...
1
vote
1answer
39 views
How to estimate certain parameters of an AR model in R?
I need to estimate parameters of an AR model which is in the form of AR(1,11) it means that coefficients of AR orders from order 2 until order 10 are zero. How can I estimate these two parameters in ...
1
vote
1answer
63 views
What to do about Seasonality Patterns in ACF, Time Series Data
I'm dealing with a time series data and I'm trying to construct a time series model for this particular dataset. I'm new to R and tried using the the auto.arima ...
1
vote
0answers
40 views
Unit root test for ARIMA models
I have a slight confusion regarding seasonal models and which polynomial to use for conducting unit root tests.
Given a model:
$\phi(B)\Phi(B^s)\Delta^d\Delta^D_S X_t = \theta(B)\Theta(B^s)\epsilon ...
3
votes
0answers
34 views
How to form a confidence band around the trend fitted from time series data
I have a time series data set. I can decompose it and get the trend but I would like to put confidence ranges around the trend (past) not the forecast-ed component. The decompose function also ...
2
votes
1answer
99 views
ARIMA forecast with seasonality and trend, strange result
as I am stepping into forecasting with ARIMA models, I am trying to understand how I can improve a forecast based on ARIMA fit with seasonality and drift.
My data is the following time series ( over ...
7
votes
2answers
110 views
What are some good resources for the history of time series analysis?
I have checked out the answer to this question on stats.stackexchange: What are good resources providing a history of statistics? Indeed, the Stigler book "Statistics on the Table" looks excellent ...
3
votes
0answers
65 views
How to do a multiple regression with ARIMA using R?
I am analyzing some tree physiology data (transpiration) in relation to a number of environmental variables (many of which are predictors such as temperature, PAR and vapour pressure deficit).
I ...
1
vote
1answer
53 views
How to use a fitted model parameters for forecasting other time series
I have fitted a ARIMA(1,1,2) to time series TS1 as below:
arima112<-arima(TS1, c(1,1,2))
now I want to use the coefficients of ar and ma that I got from ...
0
votes
2answers
115 views
Is ARIMA better in comparision with Neural Networks?
After working on Backpropagation Neural Network and ARIMA Time Series Model, I asked myself which one is better, but can't figure out the answer. They both use different approaches on the same problem ...
1
vote
1answer
30 views
What will be the first value when we difference for ARIMA model
I want to difference a nonstationary time series to fit an ARIMA model with X(t)=X(t)-X(t-1) formula (using diff function in MATLAB) but I can not figure out what ...
1
vote
1answer
71 views
ARIMA modeling: can seasonal data be seasonally stationary?
I am new to ARIMA modeling and currently encountering a weird situation with time series of count data. The time plot shows clear seasonal patterns.ACF also hints on presence of seasonality. However, ...
2
votes
1answer
115 views
One step ahead forecast with new data collected sequentially
Hi all I'm trying to do one step ahead forecast. Lets say I have 1000 data and fit an ARIMA model with it and then I do a forecast for one period ahead. When I get more data I would like to forecast ...
1
vote
0answers
69 views
Practical time series advice
Looking for some general time series advice!
I have collected performance data at fixed time intervals from a 'shared system' with the aim of investigating the affect of the sharing on the ...
1
vote
0answers
67 views
How to model a Time Series which has different nonstationary segments by ARIMA?
I had a monthly river temperature (408 values, separated 360 for modeling). Then I deseasonalized and transformed it to a normal time series by a plotting position technique. Now I need to fit an ARMA ...
1
vote
2answers
106 views
What model can I use to describe the following time-series?
I'm wondering if someone might be able to help me locate an appropriate model for the following two time-series (the cyan and blue one, the reds are rolling means).
I'm looking more for a general ...
-1
votes
1answer
48 views
Data set for forecasting [closed]
I am looking for a data set which can be used for ARIMA or any forecasting models. The data should be such that, over a period of time the range of inputs change i.e. the band of input data changes ...
1
vote
1answer
92 views
Simulate arima by hand
I was working on arima in r and I am trying not to use library 'forecast' as much as possible. I have a code for finding the best arima model, but it is showing some warning messages, please help.
...
2
votes
2answers
166 views
ARIMA forecasting
I have a data that I would like to use arima model to perform forecast. when I use auto.arima, my results does not seem right. When I change my arima order to c(1,0,1), numbers starts changing and ...
0
votes
1answer
48 views
Backfilling ARIMA data with exogenous variable
I have time series data for a set of cities that goes back for about 10 years. I also have the data at the state level for almost 30 years. There was an event that occurred about 20 years ago, that is ...
0
votes
1answer
56 views
How to compute df for ARIMA models?
Running this example from Hyndman's textbook in Chapter 9.1:
...
1
vote
1answer
196 views
ARIMA double seasonality with dummy in R error xreg
I'm playing with hourly univariate data and try to fit an arima model with more than one seasonality (daily, weekly) using a dummy for the weekly seasonality. I found a very good post explaining a ...
0
votes
0answers
62 views
How to update forecasts in an ARIMA model?
I am trying to forecast a series of monthly values. my data set is 100 values and I used 80 for building model and 20 for validating. My model is an ARIMA(1,0,1) and I am doing one step ahead ...
0
votes
0answers
108 views
Comparing two time series using ARIMA and Chow test
Background: I have water temperature time series data at several places along a river (for numerous rivers). These locations happen to be upstream, within and downstream of an impoundment (i.e., ...
1
vote
1answer
105 views
WinBUGs-TImes Series Code
I am looking to get started using times series (arima) (regression) (etc) evaluating log stock returns in WinBUGs. Does anyone have a simple code to get me jump started?
0
votes
0answers
258 views
Example of Auto Regressive Integrated Moving Average (ARIMA) Model
I need simple example of ARIMA model, that performs forecasting on a small time series set e.g., (x1,y1), (x2,y2), (x3,y3), (x4,y4), (x5,y5), (x6,y6)
I found many definitions from various places... ...
4
votes
1answer
90 views
How to test for a break in a time series cycle
I've been scratching my head over this issue and would appreciate some help. I have a time series from 1920-2011 which I've used a Baxter Kings filter on to detrend. I would like to test whether the ...
1
vote
0answers
131 views
How do I conduct an analysis of an interrupted time series design with a comparison group?
I am not sure if this is the right place to ask this question (if not, please refer me to the right place), but it would be nice if someone could help me:
Description of the Data/the Scenario:
I ...
0
votes
0answers
17 views
cannibalization of product sales [duplicate]
Possible Duplicate:
Cannibalization of product sales
I am trying to determine the rate of cannibalization of product sales
for A with product B. I am using ~ 2 years of daily sales data
for ...
2
votes
0answers
118 views
ARIMA-GARCH model for exchange rates
I am currently working on a model for exchange rates, and I want to use an ARIMA-GARCH specification. More precisely, I work on the log-returns series.
First of all, I perform multiple KPSS and ADF ...
1
vote
3answers
89 views
How to fill missed data for future time series forecasting?
The following data is for the year 1960 to 2002. This year is 2013.Can we forecast future time series, including 2013, with out filling 2003 to 2010 missed data using an Autobox, minitab etc.? If we ...
0
votes
1answer
55 views
generate IMA(1,1) series
I'd like to generate a series that follows an IMA(1,1) process, where $θ$ is the moving average parameter. I generated the series based on different representations and I got different results, I'm ...
3
votes
2answers
160 views
Ensemble time series model
I need to automate time-series forecasting, and I don't know in advance the features of those series (seasonality, trend, noise, etc).
My aim is not to get the best possible model for each series, ...
3
votes
2answers
223 views
Two seasonal periods in ARIMA using R
I'm currently using R to predict a time series with these instructions:
...
1
vote
1answer
503 views
auto.arima from Forecast package
I am trying to fit a time series using the function auto.arima and I face some strange results.
As a first try, I use the command
...
