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.

learn more… | top users | synonyms

1
vote
2answers
36 views

Forecasting product of two time series with correlation

I am trying to forecast the product two time series. That is, given $\{x_t\}_{t=0}^{T-1}, \{y_t\}_{t=0}^{T-1}$, forecast $x_T\cdot y_T$. The two time series have minimal but nontrivial correlation ...
0
votes
0answers
11 views

Obtaining summary statistics using arima in R [closed]

I want to estimate a sarima(1,1,1) model for the Employment in the agricultural sector (time series from 1998Q1 until 2014Q2 in Italy, using R. I programmed the code below: ...
0
votes
0answers
20 views

General forecasting formula for ARIMA(p,d,q)(P,D,Q)s

what is general forecasting equation for sARIMA(p,d,q)(P,D,Q)s.? I wrote this equation, can someone confirm if it is a correct one? $\overline{y}_{t+m}=\frac{ (\varphi_{1}y_{t} + ...
4
votes
2answers
29 views

Should I take the Shapiro Wilk test with a pinch of salt here?

So I'm trying to determine whether the residuals from a seasonal ARIMA model are normal or not. Upon using the shapiro wilk test, I get a staggeringly low p-value leading me to think that the ...
2
votes
2answers
45 views

forecasting sharp seasonal peak in time series

I have time series data on a daily level over the past 4 years. What is clear from examining past data is that there are two very clear peaks in the time series around the same time of year (they ...
0
votes
2answers
23 views

General forecasting equation for ARIMA(p,d,q)(P,D,Q)s

what is general forecasting equation for ARIMA(p,d,q)(P,D,Q)s.? I wrote this equation, can someone confirm if it is a correct one? If not, can someone correct it? Thank you in advance! ...
-1
votes
1answer
42 views

How many observations do I need to implement ARIMA?

I need to model an ARIMA with a time-series data. But my data is the statistics of land area, and it's annual data, so I have 64 points between 1950~2014. Because it increased by a stable rate, So I ...
2
votes
0answers
29 views

ARIMAX or Dynamic Regression [closed]

What are the guidelines we should consider when choosing between ARIMAX and Dynamic regression(State Space model)?
1
vote
1answer
136 views

Time-series forecasting (in C#)

I'm developing an app in C# (WPF) that amongst other things, it makes a time-series based forecast of sales (4-5 months into the future). I'm an industrial engineer so I'm not pro in statistics nor in ...
0
votes
4answers
87 views

Time Series for each customer

Is it possible to create Time Series Analysis for each customer? Say if have 100 customers and I wanted to predict how much amount they are going to spend next. I have done the Time Series for the ...
0
votes
0answers
34 views

Mathematical representation of a seasonal ARIMA(1,0,0)(1,0,1)60

I'd like to represent the order of the Seasonal ARIMA(1,0,0)(1,0,1)60 model mathematically. Here is the equation I came up with so far: Eventually, i'd like to represent it as a "conventional" ...
1
vote
1answer
11 views

MATLAB: modify arima model coefficients

I want to modify ARIMA model coefficients (MATLAB). I estimated my model using this code: mdl_1 = arima(2, 1, 2); estMdl_1 = estimate(mdl_1, data1'); MATLAB ...
4
votes
3answers
66 views

forecast using arima models

I am trying to predict values using arima(0,1,1). After doing predict(mod,n.ahead=5) (in R) am getting the same value for all ...
0
votes
0answers
20 views

which code to be used for forecasting arima model [migrated]

i am trying to forecast an arima model (0,1,1) in R studio. which function can i used to forecast the model?
0
votes
0answers
26 views

Holdout MAPEs in SAS PROC ARIMA and SAS Forecast Studio don't match

I have a Time Series (ARIMA) model in SAS, modelled using proc ARIMA which I am trying to replicate in SAS Forecasting Studio. What I see is that The parameter estimates in both are very similar ...
0
votes
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 ...
2
votes
2answers
79 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 ...
0
votes
0answers
27 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 ...
0
votes
2answers
44 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 ...
0
votes
1answer
23 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). ...
1
vote
0answers
22 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. ...
1
vote
0answers
22 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 ...
0
votes
0answers
37 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 ...
0
votes
0answers
28 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
48 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
66 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 ...
0
votes
0answers
22 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 ...
1
vote
1answer
97 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
votes
1answer
115 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) ...
2
votes
1answer
94 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 ...
1
vote
0answers
47 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 ...
0
votes
0answers
29 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 ...
1
vote
1answer
43 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 ...
0
votes
0answers
32 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 ...
0
votes
1answer
33 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 ...
1
vote
0answers
32 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 ...
1
vote
1answer
44 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 ...
1
vote
0answers
36 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
votes
1answer
161 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 ...
1
vote
1answer
41 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: ...
1
vote
1answer
108 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 ...
1
vote
2answers
63 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 = ...
0
votes
1answer
110 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 ...
0
votes
0answers
56 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 ...
1
vote
1answer
66 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: ...
0
votes
0answers
30 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. ...
1
vote
2answers
305 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 ...
0
votes
0answers
62 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 ...
1
vote
2answers
97 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
40 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 ...