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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My transfer function has non-stationary inputs, but a stationary output. Should I difference both the inputs and outputs during structure estimation?

I have a system of two inputs and one output that I'd like to model using the following Box-Jenkins transfer function ("dynamic regression") structure: $$y_t=\frac ...
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34 views

Obtaining the SarimaX equation from the arima coefficients

I have a SarimaX model with three regressor variables: ...
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1answer
16 views

Number of inputs used by ARIMA model

Should be an easy question but Google failed me. When using ANN for series forecasting one often uses may variables. For instance the number of shoppers might be determined by the previous number of ...
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37 views

Stock Closing price forecasting using ARIMA Model in R ( Entry level R programmer and Statistics learner)

I am an entry level R programmer and trying to learn statistics. i have downloaded the daily stock Adjusted Close price of one stock from sep 2011 to till date. As per my study plan, i have plotted ...
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2answers
39 views

Problem in ARIMA Model in R

I am running ARIMA model in R and I used auto.arima(X) function to decide appropriate model.After using this function I found that the order of my model is ARIMA(2,1,0). The problem is I run the same ...
3
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1answer
45 views

Difference between the forecast and simulate functions in the {forecast} package in R

I have been using the forecast package in R to make forecasts based on an ARIMA model and have noticed a difference in the output of the forecast and simulate functions when calculating confidence ...
2
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1answer
77 views

Forecasting a seasonal time series in R

Forecasting airline passengers seasonal time series using auto arima Hi, I am trying to model some airline data in an attempt to provide an accurate monthly forecast for June-December this year using ...
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28 views

Creating auto arima for two following time series with two different non linear slopes

I'm trying to model (and predict) the following time series, which consist of two periods (enrollment period and non enrollment) as the following: I believe that this model should consist of two ...
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28 views

Fitting ARIMAX with lagged X variable (Matlab)

This question is divided into two parts. I currently have a Y vector with 364 data points (Y) and an exogenous variable (X) with 364 data point. X is a good predictor for Y that I want to pair up ...
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30 views

ARIMAX model or ARDL?

I would like to study the impact the advertising of a product on its sales (weekly data for 5 years). As the final aim is to forecast what would be the impact on sales of a change in the advertising ...
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2answers
27 views

How to compare AR and ARIMA models?

Relatively new to stats. I use linear regression and get R^2, which is quite low. MODEL 1 lmoutar=lm(formula = ts_y ~ ts_y_lag + ts_x) So switched to arima ...
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10 views

Question of Holt-Winters, parameter chosen

I am using Holt-Winters to do a time-series forecasting. The package chose gamma equal to 1 for me. I am wondering what that means. The prediction works pretty well overall. When will you use this ...
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24 views

What is the equation for an ARIMA (2,1,0)?

Trying to figure out how JMP calculates its results. Seems the differencing equation does not produce same result as JMP. ...
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1answer
55 views

Forecasting at individual versus grouped level

I have monthly usage data (spanning 3 years) for a customer base of around 200K, and I need to generate 1-month ahead forecasts for each of them. There are a couple of exogenous variables that would ...
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0answers
24 views

Statistical demand forecasting

How is batch demand forecasting done in retail like in Walmart where number of products to forecast are very large in number and products are short lived i.e have less than 36 months of historical ...
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0answers
29 views

Arima model for non-negative data

I have been reading a tutorial for an introduction to time series. It contains a dataset, with an $Arima(2,0,0)$ forecast along with a 80% and 95% prediction interval. It looks like this: This ...
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20 views

How to get observations from residuals in an ARIMA model?

If we have residuals of an ARIMA(p,d,q) with known parameters, how can we retrieve the original observations of the time series?
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29 views

Reproducing ARIMA error terms

When forecasting a moving average (MA) model using R's forecast, why does using residuals(fit) produce different results than ...
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0answers
21 views

How do I determine the innovation term in an ARIMA equation?

I am not a statistics specialist : I had to take over the internship subject of another student to include it in mine. He was working with $SARIMAX$ models and I would like to import them in an ...
2
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0answers
26 views

Interpretation of the partial autocorrelation function for a pure MA process

I have been working with some time-series theory and I noticed something that I can understand "mathematically", but not based on the intuitive explanations of what the partial auto-correlation ...
2
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1answer
33 views

Seasonal vs non-seasonal coefficients in R ARIMA

Let's say I have the two following ARIMA models: ARIMA(7,1,1) (no seasonality) ARIMA(6,1,1)(1,0,0)7 (seasonality of period 7). Are they conceptually the same? If so, why is that when I model ...
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23 views

Why is $R^2$ poor for AR model selection used for forecasting?

There is a related question here, about how to calculate the R-squared on a regression with ARIMA errors. I found the answer quite useful, and hoped for some elaboration, particularly on Rob's closing ...
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1answer
46 views

Why we check the residuals of ARIMA model for white Gaussian?

I have problem about the assumptions and model verification of ARIMA models. I know that Gaussian distributed assumption is not necessary for fitting ARIMA models but I wonder why a lot of people ...
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22 views

Autoregressive model with input variables in proc arima procedure

I am currently working on the time series analysis for series Y but I have to use other two variable A and B as an input variable in SAS proc arima procedure. But I am unable to interpret the cross ...
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28 views

time-series analysis Vs statistical signal processing

Is there a way to identify when to use time series analysis or signal processing. Time series data analysis can be divided to signal processing and normal time series analysis. In signal processing ...
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38 views

Estimating error in ARIMA(p,d,q)

I am trying to model my data with ARIMA(1,2,12) and since the variance is not stationary I have also included GARCH (2,3). I have saved all the parameter of my model in a variable called mdl. I have ...
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0answers
23 views

How do I calculate the standard error of the ACF if the errors are t-distributed?

I am modeling my data with ARIMA and to check if my model is good I have to compute the residuals and plot the correlation function and partial correlation function of the residuals. If the results of ...
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1answer
87 views

R: forecast function accuracy for ARIMA models

I have a problem with the forecast function for ARIMA models in R. It calls predict that calls ...
4
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1answer
63 views

Sample Mean of AR(1) model

Consider the AR(1) model with iid innovations with finite mean and variance. Also, let $X_0 = 0$. \begin{align} X_t = \phi X_{t-1} + \epsilon_t \end{align} The goal is to derive the asymptotic ...
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22 views

Retreiving Integrated Fitted Data from Stationary Fitted Data

Note that this is a simplified example: I have some time series that I made stationary by differencing twice. Then I ran arima on it, and set d = 0 to prevent ...
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2answers
63 views

Arima with xreg, rebuilding the fitted values by hand

I'm using R to do some time series estimation. I'm trying to rebuild the fitted values from an Arima model by hand to use in an Excel spreadsheet using the estimated coefficients and the input data. ...
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0answers
12 views

What are the benefits of normality assumption for AR(I)MA models?

I know normality assumption is not necessary for all of the ARIMA models. My question is that if we have a non-normal time series, is it better to transform it to normal state by transformations like ...
4
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0answers
44 views

Determining parameters in AR model for non-stationary time series

I am currently trying to fit an AR model to some financial data. The time series $Y_t$ in levels is clearly non-stationary; however it appears the first differences $dY_t$ are stationary (and this is ...
0
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1answer
76 views

ARIMA, adjustments and intervention analysis

I have very little knowledge of time-series analysis (despite my stat master - didn't do anything else than an introductory course) but now I'm facing a statistical problem whose answer is this very ...
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63 views

Arima function doesn't consider seasonal components

Currently trying to fit several models to some data sets in order to find an accurate enough one, I ran into some difficulties with the Arima function of the ...
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0answers
26 views

VARMAX model in R

Is there a function in R that estimates the VARMAX model? There is one for a VARX (MTS package), but I didn't find one that works with the MA part also...
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60 views

Multiple and long seasonality for a SARIMA model in R

While working on a big data set made of 10-minutes-points of information - i.e. 144 points per day, 1008 per week and ...
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0answers
25 views

Obtaining the Psi Weights of a seasonal ARIMA in R

I am trying to quantify the effect of a future random shocks on my seasonal ARIMA model. If I have understood the theory correctly, the easiest way is to express my seasonal ARIMA model in its "random ...
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1answer
19 views

Can I have multiple individuals for each time point in ARIMA?

I am a novice learner of ARIMA modeling. I have a dataset which includes many cities that are followed up regularly for several years. Each city has its own record (household income, and well-being ...
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0answers
17 views

Missing Value in Commodities Prices

I am trying to model the prices of four energetic commodities with ARIMA models in R. Unfortunately the price series is not regular, as for some days, like Christmas, no price is given. My series is ...
1
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1answer
45 views

How are error terms calculated for moving average model in R [duplicate]

For an ARIMA (0,0,1) model, I understand that R follows the equation: xt = mu + e(t) + theta*e(t-1) (Please correct me if I am wrong) I assume e(t-1) is same as the residual of the last observation. ...
0
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1answer
60 views

Errors when fitting a SARIMAX model in R

Currently working on big data sets, I would like to fit a SARIMAX model to it in order to forecast future values. Here are my questions : Q1. As a matter of information, does anybody know how does R ...
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0answers
31 views

R function which uses innovations algorithm?

I can't seem to find much info on the following: I have a dataset D at time t which I use to fit an ARIMA model. I forecast the value of the time series at time t + 1. Now, when I'm in t + 1, I would ...
0
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2answers
52 views

Using AIC to determine best ARIMA Model

I'm trying to fit an ARIMA model to housing data set. Playing around with the p's and q I was able to get an ARIMA Model (2,1,2,)(2,0,0) with an AIC value of AIC=4946.76 I used auto.arima to see if I ...
3
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1answer
121 views

Intervention Analysis - Pulse over several periods

I have a couple weekly time series and an intervention occurred over several weeks and then for some, after a period of no intervention, began again. So, the pattern is off for a period of weeks, then ...
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1answer
78 views

Getting Residuals to be White Noise

I'm on a time series project for an undergraduate course. For the project I'm trying to come up with an ARIMA model for the housing starts data set. ...
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0answers
45 views

is it possible a nonstationary time series, to produce a stationary ARMA model?

I Have a variable (time series) which is nonstationary. I found that from the graph which seems to have a stochastic trend and the correlogram has a typical nonstationary pattern. After that, I've ...
1
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1answer
104 views

Filtering using a SARIMA model in R

I am not an expert in statistics, but I would like to work on a SARIMAX model representing power consumption. The exogeneous variable would be the temperature, but for now I found here I might need to ...
3
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0answers
54 views

ACF and PACF plot analysis

I am new to ARIMA, and I am trying to understand these lag plots. Are the following ACF and PACF suggesting that the lag of my time series is 4? If I am wrong, please help me understand these plots. ...
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0answers
55 views

Arima model - multi step forecast

The following code shows a forecast of the next 24 hours of my electricity prices with two exogenous variables. My problem is, that I don't know how to build a forecast for the next 3 days or more ...