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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5 views
Discrete Methods - good texts/references on the subject
As an engineering type I have extensive experience in continuous time methods. Large chunks of my degree programs were about how to handle continuous phenomena. I am, sadly, not as strong as I would ...
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1answer
2k views
Problem with ARIMA in Minitab
I have made non-stationary data stationary by differencing at lag 1 and then differencing the differences at lag 11. The data values for months 1/06 through 6/11 are in an Excel file at ...
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1answer
52 views
Which is the better method to do forecast..1-step or h-step ahead?
I am using forecast() package in R to predict future values. I have a time series data
for approx 6-7 years.
First, I split the data into training set and test
set. Test set contained values of the ...
1
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1answer
93 views
Simulate arima by hand
I was working on arima in r and I am trying not to use library 'forecast' as much as possible. I have a code for finding the best arima model, but it is showing some warning messages, please help.
...
0
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0answers
44 views
ARIMA forecasting with external regressors
I am trying to build ARMAX models using auto.arima. I have a time series to forecast (weekly and monthly seasonality, I've put the ts() frequency=7), another two time series as external regressors, ...
2
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1answer
83 views
Which is the best accuracy measuring criteria among rmse, mae & mape?
I have created training set and test set from my data. Then I performed auto.arima() and ets() in R on the training set to predict one-step ahead forecasts. These were then compared with the test set ...
0
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1answer
55 views
generate IMA(1,1) series
I'd like to generate a series that follows an IMA(1,1) process, where $θ$ is the moving average parameter. I generated the series based on different representations and I got different results, I'm ...
0
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1answer
48 views
Backfilling ARIMA data with exogenous variable
I have time series data for a set of cities that goes back for about 10 years. I also have the data at the state level for almost 30 years. There was an event that occurred about 20 years ago, that is ...
1
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1answer
107 views
WinBUGs-TImes Series Code
I am looking to get started using times series (arima) (regression) (etc) evaluating log stock returns in WinBUGs. Does anyone have a simple code to get me jump started?
2
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1answer
590 views
SAS Proc Arima - DF, ADF, SIC, AIC, autocorrelation in residuals
I am using Proc Arima to produce the Dickey-Fuller and the augmented Dickey-Fuller tests. According to documentation Proc Arima uses the Dickey-Fuller method that tests the following hypothesis:
...
2
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0answers
49 views
Best practices for dealing with shifting, inconsistent seasonality
This question is related to a previous post I've looked at (Calculation of seasonality indexes for complex seasonality), but deals with more granular data (daily instead of weekly), and transforming ...
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1answer
56 views
How to compute df for ARIMA models?
Running this example from Hyndman's textbook in Chapter 9.1:
...
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0answers
35 views
Identification of Integer valued ARIMA process, INARIMA
I was wondering if there is any tools like R that can be used to identify the Integer valued ARIMA process? I know that using forecast package in R we can identify the ARIMA process , is there any ...
2
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0answers
41 views
Dummy variables for time series
I'm a new user on R. I'm stuck on my times series research currently with the some questions. Not sure anyone can help me.
Dummy variable.
I wanted to add more than 1 dummy variable in the model. ...
0
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1answer
37 views
Exogeneous regressors in auto.arima and using them in forecast function in R
I'm trying to forecast a seasonal time series based on its historical values, and also two more time series (that are seasonal themselves.)
I'm trying to use an auto.arima, and I'm going to input ...
4
votes
1answer
121 views
Time Series Forecasting with Daily Data: ARIMA with regressor
I'm using a daily time series of sales data that contains about 2 years of daily data points. Based on some of the online-tutorials / examples I tried to identify the seasonality in the data. It seems ...
0
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1answer
87 views
ARIMA model fitting and forecasting implementation
I am new to time series modelling and I am trying to build a simple time series model using ARIMA methodology and forecast. I could write an R program to do the same, but I am more interested in ...
1
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0answers
21 views
Interpretation of error term in Moving Average (ARIMA)
I have an elementary question regarding the error term in MA (ARIMA)--
From where does this error term come from?
From what I understood from the question raised earlier in the following link: ...
3
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2answers
228 views
Two seasonal periods in ARIMA using R
I'm currently using R to predict a time series with these instructions:
...
3
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1answer
72 views
Variance of a time series fitted to an ARIMA model
I think this is a basic question, but maybe I am confusing the concepts.
Suppose I fit an ARIMA model to a time series using, for example, the function auto.arima() in the R forecast package. The ...
6
votes
2answers
3k views
How to calculate the p-value of parameters for ARIMA model in R?
When doing time series research in R, I found that arima provides only the coefficient values and their standard errors of fitted model. However, I also want to ...
2
votes
2answers
172 views
What is better for time series prediction: AR or ARIMA?
I am trying to make a prediction in a time series with window 512 and horizon 2. I want to know if it's worth using ARIMA, that seems to be hard to understand, instead of the simple Autoregressive ...
1
vote
1answer
78 views
Why are MA(q) time series models called “moving averages”?
When I read "moving average" in relation to a time series, I think something like $\frac{(x_{t-1} + x_{t-2} + x_{t-3})}3$, or perhaps a weighted average like $0.5x_{t-1} + 0.3x_{t-2} + 0.2x_{t-3}$. ...
4
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3answers
596 views
auto.arima warns NaNs produced on std error
My data is a time series of employed population, L, and the time span, year.
...
4
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2answers
101 views
ARIMA — Residual autocorrelation is non-significant upto lag 6 and significant beyond lag 6
I tried to fit an AR(1) model and was examining the estimates of the model. I had a question on the output (ran in SAS - Proc ARIMA):
The residual auto-correlation up to lag 6 was non-significant (in ...
4
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1answer
39 views
What do you consider a new model versus an updated model (time series)?
I am having some issues explaining to [non-statistician] people that it is natural to revise the parameters of a time series (ARIMA) model if you update the model with new data (add new actual values ...
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0answers
41 views
Seasonality Period in ARIMA function in R - How to Interpret
I've used the ARIMA function in R to fit my data to the best possible model. My data consists of daily information and there ...
1
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1answer
254 views
How to apply an AR(MA) model to a prewhitened signal?
I have two (vehicle velocity) signals that should consist of similar "latent" drivers, but have different autocorrelation structures. The driver-signals are quite nasty statistically, so I'm not ...
1
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2answers
106 views
What model can I use to describe the following time-series?
I'm wondering if someone might be able to help me locate an appropriate model for the following two time-series (the cyan and blue one, the reds are rolling means).
I'm looking more for a general ...
1
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0answers
17 views
T values of ARIMA parameter estimates
The SAS proc ARIMA documentation states that "The t values reported in the table of parameter estimates are approximations whose accuracy depends on the validity of the model, the nature of the model, ...
1
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1answer
39 views
How to estimate certain parameters of an AR model in R?
I need to estimate parameters of an AR model which is in the form of AR(1,11) it means that coefficients of AR orders from order 2 until order 10 are zero. How can I estimate these two parameters in ...
1
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1answer
64 views
What to do about Seasonality Patterns in ACF, Time Series Data
I'm dealing with a time series data and I'm trying to construct a time series model for this particular dataset. I'm new to R and tried using the the auto.arima ...
1
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0answers
40 views
Unit root test for ARIMA models
I have a slight confusion regarding seasonal models and which polynomial to use for conducting unit root tests.
Given a model:
$\phi(B)\Phi(B^s)\Delta^d\Delta^D_S X_t = \theta(B)\Theta(B^s)\epsilon ...
2
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1answer
99 views
ARIMA forecast with seasonality and trend, strange result
as I am stepping into forecasting with ARIMA models, I am trying to understand how I can improve a forecast based on ARIMA fit with seasonality and drift.
My data is the following time series ( over ...
3
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0answers
34 views
How to form a confidence band around the trend fitted from time series data
I have a time series data set. I can decompose it and get the trend but I would like to put confidence ranges around the trend (past) not the forecast-ed component. The decompose function also ...
0
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2answers
116 views
Is ARIMA better in comparision with Neural Networks?
After working on Backpropagation Neural Network and ARIMA Time Series Model, I asked myself which one is better, but can't figure out the answer. They both use different approaches on the same problem ...
7
votes
2answers
112 views
What are some good resources for the history of time series analysis?
I have checked out the answer to this question on stats.stackexchange: What are good resources providing a history of statistics? Indeed, the Stigler book "Statistics on the Table" looks excellent ...
1
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1answer
53 views
How to use a fitted model parameters for forecasting other time series
I have fitted a ARIMA(1,1,2) to time series TS1 as below:
arima112<-arima(TS1, c(1,1,2))
now I want to use the coefficients of ar and ma that I got from ...
3
votes
0answers
65 views
How to do a multiple regression with ARIMA using R?
I am analyzing some tree physiology data (transpiration) in relation to a number of environmental variables (many of which are predictors such as temperature, PAR and vapour pressure deficit).
I ...
1
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1answer
30 views
What will be the first value when we difference for ARIMA model
I want to difference a nonstationary time series to fit an ARIMA model with X(t)=X(t)-X(t-1) formula (using diff function in MATLAB) but I can not figure out what ...
1
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1answer
71 views
ARIMA modeling: can seasonal data be seasonally stationary?
I am new to ARIMA modeling and currently encountering a weird situation with time series of count data. The time plot shows clear seasonal patterns.ACF also hints on presence of seasonality. However, ...
2
votes
1answer
116 views
One step ahead forecast with new data collected sequentially
Hi all I'm trying to do one step ahead forecast. Lets say I have 1000 data and fit an ARIMA model with it and then I do a forecast for one period ahead. When I get more data I would like to forecast ...
1
vote
0answers
69 views
Practical time series advice
Looking for some general time series advice!
I have collected performance data at fixed time intervals from a 'shared system' with the aim of investigating the affect of the sharing on the ...
1
vote
0answers
67 views
How to model a Time Series which has different nonstationary segments by ARIMA?
I had a monthly river temperature (408 values, separated 360 for modeling). Then I deseasonalized and transformed it to a normal time series by a plotting position technique. Now I need to fit an ARMA ...
-1
votes
1answer
48 views
Data set for forecasting [closed]
I am looking for a data set which can be used for ARIMA or any forecasting models. The data should be such that, over a period of time the range of inputs change i.e. the band of input data changes ...
2
votes
2answers
167 views
ARIMA forecasting
I have a data that I would like to use arima model to perform forecast. when I use auto.arima, my results does not seem right. When I change my arima order to c(1,0,1), numbers starts changing and ...
1
vote
1answer
199 views
ARIMA double seasonality with dummy in R error xreg
I'm playing with hourly univariate data and try to fit an arima model with more than one seasonality (daily, weekly) using a dummy for the weekly seasonality. I found a very good post explaining a ...
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0answers
62 views
How to update forecasts in an ARIMA model?
I am trying to forecast a series of monthly values. my data set is 100 values and I used 80 for building model and 20 for validating. My model is an ARIMA(1,0,1) and I am doing one step ahead ...
0
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0answers
108 views
Comparing two time series using ARIMA and Chow test
Background: I have water temperature time series data at several places along a river (for numerous rivers). These locations happen to be upstream, within and downstream of an impoundment (i.e., ...
0
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0answers
261 views
Example of Auto Regressive Integrated Moving Average (ARIMA) Model
I need simple example of ARIMA model, that performs forecasting on a small time series set e.g., (x1,y1), (x2,y2), (x3,y3), (x4,y4), (x5,y5), (x6,y6)
I found many definitions from various places... ...
