Tagged Questions

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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24 views

Forecasting a solar data using arima in R [on hold]

I have a solar data collected from a PV plant for the period 2009.the method for forecasting as suggested for me is to use a training set for instance from 01/01/2009 to 30/04/2009 and a test period ...
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0answers
9 views

Obtain the graph of the autocorrelation function in ARIMA models [migrated]

I am implementing an ARIMA model in Python for forecasting U.S. GDP. I am interested in obtaining the graph for the autocorrelation function. I obtained the values for ACF but I can not see the ...
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1answer
42 views

Transfer function in forecasting models - interpretation

I am occupied with ARIMA modelling augmented with exogenous variables for promotional modelling purposes and i have hard time explaining it to business users. In some cases software packages end up ...
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0answers
24 views

forcing certain parameters to be skipped during optim in R

I have a code which tests each possible order of ARIMA and selects the best model by choosing the one with the absolute minimum sum of lags from the PACF graph. The code then proceeds to add weight to ...
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2answers
38 views

Definitions of coefficients from Arima {forecast}

I'm trying to explain in detail step by step what my code does and I am stuck at explaining what the coefficients are in an Arima model and where they are from/what relevance they have. Could someone ...
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1answer
19 views

Retrain Time Series Models

I'm new to TS modeling, but have some experience in classic classification modeling. In classification I can train one model and use it for some time while some indices are stable (e.g. PSI). ...
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0answers
19 views

ARIMA, coefficients check

I would appreciate if someone could check the mathematical equation for the seasonal ARIMA (4,1,3) x (1,1,1) period 12 that I wrote. I have done it this way, but I am not really sure if it correct is. ...
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0answers
19 views

ARIMA, p and q identification. Please help [duplicate]

I am very new to SARIMA and I am really facing a poblem which p,q,P,Q to use. Here is ACF and PACF of first-difference, two first plots (stationary) and ACF and PACF of first-seasonal difference (two ...
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33 views

Formula behind forecast in R

Can anyone tell me the formula behind the forecast function in R? Preferably in the form easily understood by mathematicians (e.g x_t, θ etc) Here is my code in ...
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0answers
11 views

PACF and ACF for AR and MA detection

I am very new to SARIMA and I am really facing a poblem which p,q,P,Q to use. Here is ACF and PACF of first-difference, two first plots (stationary) and ACF and PACF of first-seasonal difference (two ...
2
votes
1answer
32 views

SARIMA, coefficients check

I would appreciate if someone could check the mathematical equation for the seasonal ARIMA (4,1,4) x (1,1,1) period 12 that I wrote. I have done it this way, but I am not really sure if it correct is. ...
0
votes
1answer
50 views

Assessing the effect of an intervention on a time series (in R): terrible Ljung-Box p-values

I am trying to test the effect on the heat flux between indoors and outdoors before and after removing insulation. Briefly, I have 26 sensors on a wall, measuring heat flow between indoors and ...
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0answers
20 views

Explaining the methodology behind this ARIMA weighted code

I have a code that was given to me that runs an ARIMA model putting weight on more recent errors, it gives excellent results, much better than simple ARIMA, but i do not understand the methodology ...
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1answer
68 views

Arima time series forecast (auto.arima) with multiple exogeneous variables in R

I would like to conduct a forecast based on a multiple time series ARIMA-model with multiple exogeneous variables. Since I am not that skillfull with regards to neither statistics nor R I want to keep ...
6
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1answer
99 views

Should auto.arima in R ever report a model with higher AIC, AICC and BIC than other models considered?

I have used auto.arima to fit a time series model (a linear regression with ARIMA errors, as described on Rob Hyndman's site ) When finished - the output reports that the best model has a (5,1,0) ...
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1answer
64 views

Weekly seasonality model by ARIMA+Fourier terms+dummies

This is a long post but it is not conceptually difficult. Please bear with me. I am trying to model the seasonality of production volume of an agricultural commodity. I do not care about the ...
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0answers
38 views

auto.arima and Arima (forecast package)

I am facing a strange issue with auto.arima. On a dataset named data, I run the following code ...
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0answers
24 views

Time series forecasting with multiple series with constraints

Hello and thanks in advance. I am using ARIMA or VAR models to forecast sales revenue. Suppose I have three different time series in each of three categories (making 9 series in total). The first ...
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1answer
40 views

Definition of ARIMA with exogenous regressors in R

I am wondering about the exact definition of ARIMA model in function arima() in R when exogenous regressors are included. I ...
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0answers
30 views

How exactly does `R` define ARIMA models?

I have trouble understanding the output of function arima() in R. Reading the help file and other sources has not helped ...
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1answer
32 views

AR(2) & constant & trend - very poor constant estimates?

Here is a problem that was puzzling me. Suppose I simulate the AR(2) process with constant and trend using the code below (I apologize for inefficiency and inelegance - the aim was to get job done at ...
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0answers
31 views

Why only full ARIMA models in auto.arima?

It seems that the auto.arima() function in the forecast package in R only considers full ...
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1answer
43 views

Peak Hours for Tweeting

I am trying to figure out the peak hours during a 24 hour period for my companies twitter account. We are trying to find the sweet spot to optimize our interactions (RT+Replies+Favorites). I have ...
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0answers
33 views

Statistical test: Does actual time series data deviate from forecast?

I have made a prediction of future sales based on an ARIMA model. The ARIMA model is based on past data, during which there has been no marketing activity. During the period predicted by ARIMA, I will ...
4
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1answer
96 views

“Frequency” value for seconds/minutes intervals data in R

I'm using R(3.1.1), and ARIMA models for forecasting. I would like to know what should be the "frequency" parameter, which is assigned in the ts() function, if im ...
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1answer
36 views

Auto.arima choose between lots of regressors

I have to forecast data with two seasonality with ARIMA. I find that I have to use a code like this: ...
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1answer
90 views

ARIMAX with a specified nonlinear model using the arima function in R

I am interested in fitting an ARIMAX model using R. As known, ARIMAX can be understood as a composition of ARIMA models and regression models with exogenous (independent) variables. I have a time ...
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2answers
58 views

Time series with autoregressive error

How can I in R fit a time series, $x_t$, with external regressors, $v_t$, and an autoregressive error? This time series model is given as follows, $x_t = \beta v_t + \epsilon_t$ where $\epsilon_t = ...
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1answer
57 views

Multivariate Time Series Forecasting in R - data in 10 minute intervals

I have data where an observation was made in 10 minute intervals for 8 weeks. I have around 170 variables that were measured every 10 minutes. I am trying to use multivariate time series analysis to ...
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0answers
49 views

what is 1-step ahead prediction for this AR(2) model?

AR(2) model : rt= 1.2rt-1 - 0.35 rt-2 +at, Var(at)=16 Suppose that r300 = 7, r299=5, and r298=6 What is the 1-step ahead prediction of r301 at the forecast origin T=300? Compute the variance of ...
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1answer
61 views

how to use arima to do mean model

I am learning arima by this site: http://people.duke.edu/~rnau/411home.htm and I want to get the same result as following notes: ...
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0answers
23 views

Using SAR and SMA in the same regression

From this webpage: http://people.duke.edu/~rnau/arimrule.htm, of the Duke University: Rule 13: If the autocorrelation at the seasonal period is positive, consider adding an SAR term to the model. ...
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2answers
218 views

very high frequency time series analysis (seconds) and Forecasting (Python/R)

I have high frequency data (observations separated by seconds), which I'd like to analyse and eventually forecast short-term periods (1/5/10/15/60 min ahead) using ARIMA models. My whole data set is ...
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0answers
42 views

Parameter estimation for dynamic regression models with correlated noise ARMA errors

I'm reading the Dynamic Regression Models chapter ( https://www.otexts.org/fpp/9/1 ) in Professor Hyndman's book, and I couldn't understand how to fit the regression model when the error is modeled ...
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2answers
93 views

Seasonal adjustment for a series that has already been adjusted

A dataset I am working with (from the OECD), for harmonised unemployment seems to be seasonally adjusted: The unemployment rates shown here are calculated as the number of unemployed persons as a ...
2
votes
1answer
33 views

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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0answers
99 views

Obtaining the SarimaX equation from the arima coefficients

I have a SarimaX model with three regressor variables: ...
0
votes
1answer
28 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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0answers
104 views

Stock closing price forecasting using ARIMA model in R

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 some basic plots to understand the daily stock Adjusted closing ...
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2answers
50 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
60 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
votes
1answer
189 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 ...
0
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0answers
35 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 ...
0
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0answers
50 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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0answers
37 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 ...
0
votes
2answers
50 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 ...
0
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0answers
13 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 ...
0
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0answers
29 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. ...
1
vote
1answer
66 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 ...
0
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0answers
31 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 ...