Questions tagged [arima]
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.
3,182
questions
0
votes
0
answers
23
views
Interpretation of Moving Average coefficient in ARIMA and its equivalance with exponential smoothing parameter
On Running an ARIMA (0,0,1) model from statsmodels.api on a differenced time series say X(t). I get the following output
const = 5.34e-06
ma.L1 = 0.8934
How should I interpret the above MA model with ...
0
votes
0
answers
9
views
How to parameterize SARIMAX in Python [duplicate]
I'm using SARIMAX as a statistical model to solve my problem of predicting a cost variable (Y) based on the past history of this dependent variable.
In particular, I use SARIMAX because I have ...
0
votes
0
answers
27
views
Seasonal component inconsistency in X-11 method using R
I am learning about time series decomposition using the X-11 method in R. I am following the book “Forecasting: Principles and Practice (3rd ed)” by Rob J Hyndman and George Athanasopoulos, which uses ...
0
votes
0
answers
19
views
Time series ACF PACF vs SARIMA results
My SARIMA gives the following result but my acf and pacf plot shows a different story. Is it because of heteroskadiscity of the model also my model has a seasonality of 365 days how do I handle it?
0
votes
0
answers
44
views
Are innovations $0$ for the first term in a differenced series?
I'm working on an unassessed course problem,
Consider a time series consisting of quarterly observations of temperature in a city. The seasonally differenced time series $\{x_t\}$ with $D=1$ is ...
- 589
0
votes
0
answers
37
views
How to Improve forecasting efficacy on an ARIMA model in Python
I am new to Python and pieced some code together to construct a monthly forecast.
The data is seasonal but the trend does not seem to be well defined.
I've read a lot of posts on the reasons why the ...
0
votes
0
answers
34
views
Is there any way I can improve my interrupted time series analysis on this data?
I ran a simple ordinary least squares (OLS) model of the form
y = b_0 + b_1 * T + b_2 * D + b_3 * P + e
where y is the number of murders in a given month, T is the number of months passed from the ...
- 123
1
vote
0
answers
25
views
Are there Companies that publish stock prediction source code [closed]
Now the best way to describe this is as follows:
For example Epic Games and Unity and Blender have the source code of their engines available for the public to read. Reading company code can be very ...
- 11
0
votes
1
answer
16
views
How can explain the effect of the added exogenous variable on the model looking at graph?
I have run the ARIMAX model (1,1,1) and got this output.
Then I ran SARIMAX (1,1,1) Seasonal (1,1,52) model and got the next
As you see the blue line (Prediction) came closer to the black line (...
0
votes
0
answers
14
views
Improving an ARIMA model by eliminating AR/ME terms
I've come over the following two statements to manually improve the fit of an ARIMA model by changing its parameters $p,q$.
If the AR coefficients sum to nearly 1 and suggest a unit root in the
AR ...
- 103
1
vote
0
answers
61
views
Backshift Notation for a Seasonal ARIMA model with constant
When fitting and forecasting using a seasonal ARIMA model with a total differencing of 1 (non-seasonal + seasonal), a constant term is necessary to capture the trend of the original data prior to ...
- 11
1
vote
0
answers
61
views
Is there a closed form for multi-step ARIMA/ARMA density forecasts conditioned on initial values?/alternatives to this?
I am attempting to create a benchmark for probabilistic forecasting of time series to test other models against and figured that a linear ARIMA/ARMA model would be a good starting point.
I thought ...
- 389
0
votes
0
answers
11
views
Comparison of Two Populations in ARIMA Interrupted Time Series
I am trying to do a comparison of the impact of COVID-19 on cancer diagnoses in the US. I have fit an ARIMA model to all cancer site monthly incidence rates for the US from January 2018 to December ...
- 652
0
votes
0
answers
31
views
Interpreting log-transformed ARIMA Coefficients in R
I am fitting an ARIMA model to do interrupted time series analysis on cancer rates. I have log-transformed the data for fitting for stability and because this is typical with cancer rates, but I am ...
- 652
0
votes
0
answers
160
views
Multi-Linear Regression with ARIMA errors - Forecasting
I have a time series dataset with 7 independent variables. I have created a multi-linear regression(MLR) using 3 of these independent variables and two lagged variables. When I checked for the ...
- 1
0
votes
0
answers
53
views
How should I interpret parameters of the SARIMA model in time series analysis?
I am a bit confused as to why the SARIMA model requires four parameters beyond the ARIMA model just to remove the seasonal component from a time series.
Obviously $m$ is required to specify the ...
- 121
0
votes
1
answer
36
views
Why the result of forecasting GARCH being constant?
I am new to researching modeling and forecasting using the GARCH model. So I am still confused about the result that I get. I forecast stock return volatility using Eviews. The best ARIMA model in my ...
- 1
4
votes
1
answer
114
views
Inverting diff() and BoxCox() in R
i'm doing a project with a non-stationary time series. i used BoxCox trasformation and differences to make it stationary
...
- 41
1
vote
1
answer
24
views
Should the RMSE of an unrestricted VAR model decrease as compared to a restricted Autoregression model when there is Granger Causality
I have 2 time series, say for instance, T1 and T2. T1 granger causes T2 at lag 2. Should this mean that if I make a VAR model with these two time series, and an autoregression model with just T2, the ...
- 313
0
votes
0
answers
26
views
I need help writing a SARIMA model
I need help writing a SARIMA model I have obtained mathematically. My model is
ARIMA(2,1,0)(0,1,0) period 12.
I understand what the different parts actually mean but get very lost trying to write out ...
0
votes
0
answers
50
views
ARIMA equation from R output
I have three ARIMA models by these output by R. After using auto.arima there is 3 models that R told me which (1,1,0), (0,0,1), and (1,1,1)
According to these ...
0
votes
1
answer
178
views
How can I make seasonal adjustment for data with heteroskedasticity in R
I am currently using the "seasonal" package in R to perform X-13ARIMA seasonal adjustment when I notice that the data I am analyzing have significantly larger volatility in recent years than ...
0
votes
0
answers
30
views
How can I interpret this ACF PACF?
Data I am using is Relative Humidity from 2004-01-01 to 2022-12-01 (day is always 01 as it is a monthly average). I established a linear regression model to find a trend.
Used the residuals and ...
- 1
0
votes
1
answer
219
views
Interpreting test results for ARCH effects in ARIMA model
I would like to ask you, how to correctly interpret different results for different number of lags in arch.test (R)? We reject the null hypothesis (homoscedasticity)...
0
votes
1
answer
30
views
arima model for time series prediction based on the given acf and pacf plots
I have just started learning fitting arima model for time series. So I am not very sure what AR and MA order I should use. May I know what are some possible arima models for the following ACF and PACF ...
- 1
3
votes
1
answer
51
views
Let $X_t$ be an ARIMA(1,1,1) process and $Y_t = Y_{t-1} + X_t$. What kind of process is $Y_t$?
Q: Let $X_t$ be an ARIMA(1,1,1) process and $Y_t = Y_{t-1} + X_t$. What kind of process is $Y_t$?
$X_t$ is an ARIMA(1,1,1), i.e $\nabla X_t = X_t - X_{t-1} = Z_t $ where $Z_t$ is a casual ARMA(1,1) ...
- 245
0
votes
0
answers
153
views
Detrending these time series
I have the following time series. Its clearly not a simple linear trend. I want to explore the relationship among these variables using a VAR, or even a time-varying VAR. The biggest issue in my data ...
- 11
0
votes
2
answers
489
views
Exact steps for rolling window CV evaluation or sliding window CV evaluation for SARIMA
So far I have using this process:
1)split data into training and test
2)do model selection(p,d,q, P,D,Q,etc) using training data(in this case, I used autoarima)
...
- 89
1
vote
0
answers
33
views
SARIMA model selection for my data
I am new to time series analysis.
I need to determine whether my series is seasonal or not, and if it requires differencing for building an ARIMA model if it is possible? The time series data is ...
- 11
3
votes
1
answer
54
views
If $X_t$ is an AR(2) process, what is $Y_t := X_t - X_{t-1}$?
Q: If $X_t$ is an AR(2) process, what is $Y_t := X_t - X_{t-1}$?
Attempted solution:
$X_t = \phi_1 X_{t-1} + \phi_2 X_{t-2} + W_t$, where $W_t$ is white noise.
\begin{equation} \begin{split} Y_t &:...
- 245
1
vote
0
answers
30
views
Seasonal differencing applied to exogenous variable (xreg)? Forecast package R by Hyndman
Im currently working on specifying a seasonal ARIMA model with an exogenous variable. I'm using the forecast package developed by Hyndman for this. I have specified the following:
...
2
votes
1
answer
416
views
How to use MAPE with auto.arima model?
The code below gets a: error in mean(abs((y_true - y_pred)/y_true)) :
argument "y_true" is missing, with no default
I've seen MAPE used on forecasts. Can one use this and similar methods on ...
- 151
0
votes
0
answers
38
views
GARCH fit to the residuals of AR/ARMA mean equation previously fitted
Suppose I have an ARMA (p,q) (let it be ARMA (2,2)) fitted to my original returns series and have the residuals of said ARMA model extracted.
Next, it is my understanding that I need to fit a GARCH ...
- 1
0
votes
1
answer
58
views
Prove that white noise + normality = independence
If the time series process is linear, then the ARIMA model is specified.
The residuals from this model are $(1.)$ no autocorrelation $(2.)$ mean equals zero $(3.)$ constant variance. We say that this ...
- 71
0
votes
0
answers
22
views
Can I compare forecasting performance of rolling window VAR and usual forecast of model with ARIMA errors?
Can I compare forecasting performance of rolling window VAR and usual forecast of model with ARIMA errors?
Or maybe there is exist better way to compare forecasting performance?
- 47
0
votes
0
answers
53
views
Estimating and fitting a GARCH model
By far I've become really familiar with the concept of GARCH but I'm still confused on how to go on with the implementation especially that I've seen multiple sources using different approaches:
...
- 1
1
vote
1
answer
41
views
How to convert R output from auto.arima function into mathematical model?
I'm building a model using the auto.arima function in R, and it gives the following output:
...
- 11
1
vote
0
answers
138
views
Interpreting lagged exogenous variables in ARMAX and regression with ARMA errors
There is an interesting post about the connection of lagged exogenous variables and the autoregressive time series model: Forecasting - Lags vs. AR terms for Exogenous Variables
Consequently, by using ...
- 11
1
vote
0
answers
18
views
How to apply heteroscedasticity tests in model with ARIMA errors? [closed]
How to use heteroscedasticity tests in model with ARIMA errors?
- 47
0
votes
0
answers
29
views
Rejection of ADF-test for log returns and AIC selected ARIMA(0,0,0) and ARIMA (0,0,0) with a drift?
I use monthly log returns for some stock portfolios and rejects the null of the ADF-test for both. Hereafter I use AIC to select best fitting models using auto.arima in R. The selected models are ...
0
votes
0
answers
16
views
What happens if you difference a IMA?
When we over-difference a time serie, we are introducing units roots in its moving average component, hence obtaining an IMA. My question is: IMA is an integrated time serie, hence it has unit root ...
0
votes
0
answers
31
views
What should I do with structural breaks at return time series?- R
Let say I have the below time series data(It is a return data of a financial derivative):
...
- 689
0
votes
0
answers
73
views
How to model structural break in ARIMAX/VAR/ARDL
I tried to use a QLR test for structural breaks for a variable that I am forecasting, and I found a break, which is very accurate to geopolitical events in 2022.
Because of this, my significance of ...
- 47
1
vote
0
answers
636
views
How to calculate Prediction Intervals for time series forecasting with CI
I'm working on a project on time series multi-step ahead forecasting in Python.
I have a time series, and I apply an ARMA model on it (statsmodels SARIMAX library). I know that ARMA models, as many ...
- 43
1
vote
1
answer
57
views
Auto_arima and ARCH
I have an auto_arima model that works in Python but I want to optimize it using ARCH. I have run an ARCH model on my ARIMA residuals but I do not know what to do ...
1
vote
1
answer
113
views
auto_arima straight line prediction python
I know this has been asked a lot but I have checked everything and still don't understand. To start, I have a dataset of global temperatures averaged over years. There is a trend in the series and I ...
1
vote
1
answer
59
views
ARIMAX model for Google trends: trouble with lots of zeros
I want to apply ARIMAX model on Google trends. I used python package to get daily data. However, this data contains a lot of zeros, so if I do first difference of logs, I see a lot of (inf) in python.
...
- 47
1
vote
0
answers
102
views
ARIMA, VAR and State Space Model (SSM) forecasting comparison
I am trying to compare the asset price forecasting abilities of SSMs with ARIMA and VAR models. To keep it brief, this is the plan that I am following:
Collect multivariate data
Perform ADF ...
- 113
0
votes
0
answers
26
views
what R function can be used to fit an additional MA term at lag 3 to my ARIMA model?
I want to fit an ARIMA(1,1,0)(0,1,1)[12] with drift, with an additionnal MA at lag 3 as when I have fitted an ARIMA(1,1,0)(0,1,1)[12] with drift model, I have seen there was still autocorrelation in ...
0
votes
0
answers
24
views
Does Arima (1,0,1) exist? Are there any articles station Arima (1,0,1)? How to intrpret Arima (1,0,1) summary results? [duplicate]
I have dataset that corresponds to year (from 1930-2020) and volume of sediment. I have to predict the volume for next 50 years. While trying ARIMA in R I tried different models like (1,0,0), (1,1,0) (...
