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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10 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 ...
2
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0answers
13 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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16 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 ...
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0answers
10 views

ARIMA model forecast

why is it that after I forecast an ARIMA model, the forecast has wide prediction intervals as opposed to some of the other time series models such as a VAR?
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0answers
8 views

How to check if data needs to be seasonally differenced in MATLAB

I am forecasting data using ARIMA. I would like to know if there is any test to check if seasonal differencing is needed in the ARIMA model. I know R uses Canova Hansen test, but does MATLAB provide ...
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2answers
76 views
+200

ARIMA Intervention Transfer Function - How to Visualize the Effect

I have a monthly time series with an intervention and I would like to quantify the effect of this intervention on the outcome. I realize the series is rather short and the effect is not yet concluded. ...
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0answers
9 views

is.constant() function in auto.arima() R [migrated]

In R, while viewing the source code of auto.arima() I noticed a function called is.constant(). What is the functionality of ...
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1answer
35 views

Inverse Differencing and ARIMA Model Equivalence

I've developed a ARIMA model with exogenous variable. Before fitting the model, I made every time series stationary by differencing (each variable had a different order of integration). For ...
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1answer
15 views

Stationarity consideration in ARIMA using KPSS test

I have data, which I am sure has a downward trend. I am trying to forecast this data using ARIMA and I want ARIMA to consider the trend when it is forecasting. The first step in ARIMA is to ...
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0answers
20 views

Kalman Filter Correction efficiency

I was wondering if Kalman Filter used in a way to correct and reduce forecast errors is useful in real life forecast.Since we are using output forecast data and measurement data from t-1 to correct ...
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0answers
7 views

ARIMA - is it normal to be unable to recover DGP of simulated data with 200,000 datapoints?

When learning how to use a statistical model, I often create a simulation of the DGP, and run simulated data through the software to make sure I know what I'm looking at. I've done this for Proc ...
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4answers
141 views

Can a trend stationary series be modeled with ARIMA?

I have a question / confusion about stationary series required for modeling with ARIMA(X). I am thinking of this more in terms of inference (effect of an intervention), but would like to know if ...
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0answers
12 views

Forecasting the impressions a specific ad campaign will recieve

I am currently working on forecasting the impressions an ad campaign will get given certain constraints specified by the ad provider (eg. only target men in California on websites with certain ...
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2answers
50 views

R: How to to simulate ARIMA using starting values?

I have built an ARIMA(p,d,q) model, m using say, m <- Arima(ts.data, c(p,d,q)) Given some starting values, I want to simulate future values based on the ...
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1answer
81 views

How to dampen forecast to improve accuracy?

According to Armstrong there is ample empirical evidence that dampening trends in uncertain and complex long term forecasting helps improve accuracy/reduce forecasting errors. What I'm not able to ...
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0answers
19 views

Predicting the missing data out of three values in each of the two vectors

I have 2 vectors of rural and urban populations of the same country. (years from 1975 to 2020) with only three values (1980, 1990 and 2001 years) in each. And I need to predict the missing data. My ...
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1answer
27 views

Get fitted values estimated in ARIMA in Matlab

I am using Matlab to forecast time series data using ARIMA algorithm. I am able to get forecasted values, but unable to get the fitted values. This is what I mean. In R: ...
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0answers
21 views

Interpolation and forecasting out of 2 values [on hold]

I have a vector of yearly population data from 1980 to 2020 with only two values (years 2000 and 2010) and I need to predict the missing data. My first thought was to use na.approx to fill in the ...
2
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1answer
48 views

Show Regression with Arima Errors Equivalent Form of Differenced Variables

How can you show that the regression $y_{t}=\beta_0 + \beta_1x_{t}+\eta_t$ where $\eta_t$ is arima(1,1,1) is equivalent to $y'_t = \beta_1x'_{t}+\eta'_t$ where $\eta'_t=\phi_1\eta'_{t-1}+e_t$ and $'$ ...
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0answers
40 views

forecast improvement using Kalman FIlter clearing

I have been facing a wall after doing a forecast of wind speed time series data using ARIMA with python. I have result with a nrmse growth going from 2% to 15% and now what I want is to use kalman ...
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62 views

Forecasting using auto.arima

I have the weekly revenue data for an electronics company the decomposed plot of which is as follows: I have decided to keep the seasonality and apply a suitable forecasting technique. I tried ...
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0answers
43 views

Consequences of modeling a non-stationary process using ARMA?

I understand we should use ARIMA for modelling a non-stationary time series. Also, everything I read says ARMA should only be used for stationary time series. What I'm trying to understand is, what ...
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1answer
38 views

Is the Moving Average of ARMA the same of Moving Average of Stock Market?

I'm studying time series prediction and I have some questions. Is the Moving Averages movel studied the methods of the ARMA family has the same concept as the methods studied in Moving Averages ...
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1answer
147 views

Detecting Outliers in Time Series (LS/AO/TC) using tsoutliers package in R. How to represent outliers in equation format?

Comments: Firstly I would like to say a big thank you to the author of the new tsoutliers package which implements Chen and Liu's time series outlier detection which was published in the Journal of ...
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4answers
111 views

Determining parameters (p, d, q) for ARIMA modeling

I am fairly new to statistics and R. I would like to know the process to determine the ARIMA parameters for my dataset. Can you help me figure out the same using R and theoretically (if possible)? ...
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1answer
56 views

How to use auto.arima to impute missing values

I have a zoo series with many missing values. I read that auto.arima can impute these missing values? Can anyone can teach me how to do it? thanks a lot! This is ...
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48 views

ARIMA - SARIMAX modelling with R

I am really new to R and to time series. My field of studies is in the field of Networks and Telecommunication, but my summer internship is about trying to find a statistical model for some sets of ...
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3answers
184 views

stochastic vs deterministic trend/seasonality in time series forecasting

I have moderate background in time series forecasting. I have looked at several forecasting books, and I don't see the following questions addressed in any of them. I have two questions: How would ...
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0answers
22 views

Is ARIMA(1,0,0)+xreg for level shift the same as linear regression model with level shift adjustment and lag1 term?

I have a time series with a level shift. Thus, when treating it with an ARIMA model, I use arima(1,0,0)+xreg. The xreg is a ...
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0answers
23 views

In a moving average model, how do I calculate the errors?

I am programming an ARIMA model. The MA part of the model uses past forecast errors. How do I calculate these errors? Should I use any other model?
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1answer
39 views

determining the order of Box-Jenkins modeling process

I have this problem on what model class (AR,MA,ARMA,ARIMA,etc) will I use on my data I'm using Box-Jenkins process and what order( say 1,0,1) will I use. I already done many transformations on my data ...
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1answer
59 views

How to test the ARIMA coefficients?

Which test is required to test whether coefficients estimated as part of ARIMA procedure is different from 0? And how does one compute this test? I am reading some procedures regarding the inversion ...
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1answer
38 views

Different estimated parameters in similar models in R

A particular series (std), seems to exhibit a trend-like behavior. According to the ADF test for this series: ...
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1answer
34 views

How do I state an ARIMA(0,1,4)x(0,1,1)12 in terms of Yt etc and not in terms of the backshift operator

I would like to state an ARIMA(0,1,4)x(0,1,1) model (written in format (p,d,q)x(P,D,Q) model without using the backshift operator. Thanks in advance
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2answers
95 views

Why do the 95% confidence limits in ARIMA models widen at the forecasts?

Can someone please explain why when I do an ARIMA model the forecast's 95% confidence interval widen?
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1answer
102 views

How to forecast multivariate time-series 'accurately' with a large number of unknown factors using R?

I am relatively new to statistics and not formally trained but have been given a complex problem to solve and need some guidance. I realise that I am out of my depth a bit here but would appreciate ...
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0answers
116 views

Time Series: Seasonality and trend

I am interested in financial time series and I have a small question regarding the use of the forecast package. The time series I am interested in is a monthly one and present clear evidences of ...
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1answer
51 views

Reference required for a Moving Average Model

I had found this MA model $y(t) = 0.5 + 0.8*\epsilon(t-1) + 0.2*\epsilon(t-12) $ from Mathworks but I forgot to note down the reference or the webpage from which I obtained it. I know this question is ...
2
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2answers
73 views

ARMA parameters

I am currently doing a short term forecast using ARIMA model.I have been following Box and Jenkins method and to choose the best ARIMA parameters to do do my forecast I tested various(p,q) ...
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0answers
32 views

Help identifying time series model

I am trying to fit an arima model to data below. The best model seems to be ARMA(2,2) with the first AR and MA components zero to me. However, it does not quite satisfy me. I am looking for any ideas ...
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2answers
65 views

ARIMA model selection

I am trying to find a model for the data below. I cannot decide whether the data is stationary or not. I do not want to take differences unnecessarily . I put results of the models below. I think ...
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1answer
32 views

How does including lags imply losing observations

My time series professor passed a comment today, that running this model implies losing k+1 observations. I think I have understood how the observations are wasted, but I am notorious for falsely ...
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0answers
18 views

Tsdiag results analysis help

What do you think about result from my arima model? Should I need to change the model. I do not want to change it because it is the best I have but p values do not seem fine
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24 views

ARIMA(0,2,2) model fitting

My data is below.After taking differences 2 times,it looks stationary. Only lag 2 is significant in both pacf and acf plot.EACF says it is ARIMA(0,2,2) and I think it can be. However,if it is, aren't ...
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2answers
99 views

Daily forecasting

We have three years of data for online visits at a daily level. We want to forecast the daily visits for the next 90 days. What would be the best method to capture weekday seasonality , holiday ...
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1answer
59 views

GARCH-M(1,1) where ARMA(0,0) is “removed” in R

Which of the following is the correct code for fitting a GARCH-M(1,1) model where the ARMA(0,0) is "removed"? Or what is the correct code? ...
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1answer
59 views

Is ARMA(0,0) equivalent to white noise?

If the EACF of my TS suggests ARMA(0,0) and the Box-Ljung test does not suggest my TS has correlation, can I conclude that my TS is white noise or merely that there is no reason to suspect that it is ...
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1answer
37 views

Looking for help with ITSM software (or other comparable software)

I'm looking for someone who is familiar with the ITSM software. I have some data that needs to be fit with an ARIMA/SARIMA model and then forecast using Holt-Winters/Seasonal method. I then need to ...
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12 views

How do I write the mathematical equation for ARIMA(0,0,5)(1,0,1) period 12? [duplicate]

I would appreciate if someone could help me write the mathematical equation for the seasonal ARIMA (0,0,5) x (1,0,1) period 12. I'm a little confused with how to go about this.
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26 views

Optimizing Dynamic Regression in R

I am running a dynamic regression model in R. How can I reach at the optimal orders $p$,$q$,$r$? I tried from a few values varying from $0$ to $3$ for each of $p$ ...