ARMA is an acronym for auto regressive moving average; a stochastic process modelling time series. It adds moving average terms to the AR model.

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Power spectrum of unlogged AR(1) process

Our variable of interest $X$ is nonnegative. We model $ \log(X) $ as AR(1) process. $ \log(X) $ power spectrum: $ S_{xx}(w) = \frac{\sigma^2}{1-\varphi^2} \frac{\gamma}{\omega^2 + \gamma^2} $ What ...
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ARMA model in R

I am a bit confused using the arma() function in R regarding interpretation. So what exactly is the equation of a for example AR(1,0,2) given the output AR1, MA1, ...
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17 views

How to forecat a ARMAX model with 1 step ahead forecast in R?

I have divided my time series to 2 parts and I have used first part Y1TS[1:n2] for model fitting and Y1TS[n2:n1] for forecasting ...
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29 views

Calculation of VaR of a time series using a GARCH(1,1) ARMA(1,1) model

Please, I've been stuck all the weekend in this problem, does someone know how find the Value at Risk 10 days ahead (for example) using a GARCH(1,1) ARMA(1,1) Model. Thank you very much Rodrigo *If ...
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ARMA models and invertibility

I'm reading the book Time Series Models by Franses et al. It says that if we have an $ARMA(1,1)$ model with $\phi=1$ and $\theta=-1$ we have $y_t=\epsilon_t$. So, this means that in the equation ...
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63 views

How do you generate correlated ARMA(1,1) models?

I am interested in generating two ARMA(1,1) time series with a pre-defined cross-correlation p between x(t) and y(t). If you could please provide the mathematical framework and the code in R for ...
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1answer
92 views

Distinguish an ARMA and an ARIMA model graphically

I'm currently analyzing some time series data and I need to know how to distinguish an ARMA model from an ARIMA model just by looking at the auto-correlation function and partial auto-correlation ...
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205 views

Analyse ACF and PACF plots

I want to see if I am on the right track analysing my ACF and PACF plots: Background: (Reff: Philip Hans Franses, 1998) As both ACF and PACF show significant values, I assume that an ARMA-model ...
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29 views

What state-space representation of VARMA is commonly used for fitting

What state-space representation of VARMA is commonly used for fitting? Is Kalman filter + MLE approach used for fitting VARMA model as a common practice? Does the choice of which state-space ...
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114 views

Review of Box-Jenkins methodology

i just finished developing an ARMAX model with python (mostly statsmodels) in order to forecast some data. My next step is to test the data (24 time series) with the given ARMAX model. As i need to ...
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35 views

Automatic selection of lowest information criterion comes with warning

I am building a forecasting model (ARMA) and found the very useful code-object arma_order_select_ic(see code below). It all works, however, each calculation comes ...
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37 views

ARIMA estimate validation through arima.sim

This is out of my curiosity trying to compare time series input to an ARMA model and reconstructed series after an ARMA estimate is obtained. These are the steps I am thinking: Construct simulation ...
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119 views

raw data stationary but still can see trend and seaonality is stl

So I am looking at unit sales data. I am doing a univariate time series analysis. My data is weekly sales numbers figures, spanning 2012- 2014 (obviously no till end 2014). I first ploted my response ...
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31 views

Violation of underlying assumptions - ARMA-GARCH

I am estimating an ARMA-GARCH model using QMLE (Quasi-Maxiumum-likelihood-estimation). However, I have some trouble - when I do test to see if the residuals are uncorrelated - a Weighted Ljung-Box ...
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1answer
45 views

How to estimate an ARMA with non consecutive lag in R?

Lets say I have an ARMA with an AR(1,4) and an MA(1). Update To be more specific the model to be estimated is: $$y_t = \rho_1 y_{t-1} + \rho_4 y_{t-4} + \epsilon_t + \theta_1 \epsilon_{t-1}$$ ...
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1answer
50 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 ...
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42 views

Zero p-value for Dickey-Fuller test

I feed sample time series data in statsmodels Dickey-Fuller test, and as a result I get exact 0 (zero) for p-value. I'm not sure how to intrepret that. I think that it doesn't imply stationarity as ...
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15 views

Adding exogenous input to data (to expand ARMAX)

I am facing the following problems: 1) I am trying to add an exogenous input to an existing ARMAX model. I already identified a good fitting model with small MSE for my system. ...
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32 views

Using A Time Series To “Scale” Another

I know the "average theoretical cost per impression" for Jan 13 - Dec 13. I have other monthly time series for "total # of impressions", "total # of clicks" and "total number of conversions" for Jan ...
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1answer
53 views

ARMA parameters estimation

I'm trying to estimate parameters of ARMA. Ljung-Box statistic reveals no serial correlation in residuals. But one coefficient is statistically insignificant. When I remove the variable corresponding ...
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2answers
109 views

Problem on time-series

I am dealing with event data (recorded over a month) which gives out a binary response from a sensor when a door opens or closes - the time is noted at every instant and can also be represented in ...
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480 views

What is the best way to do a seasonal ARMA (or ARIMA) in python?

Scikit learn and statsmodels don't seem to support this type of ARMA. I tried to use rpy2 python library, but that proved to be far too difficult to integrate, as my IDE was not able to recognize my ...
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88 views

On the Autocorrelation Matrix of an ARMA(2,2) to derive the Yule Walker Equations

For an AR(2) I can get the Yule-Walker equations: $$\begin{cases} \rho_1=\alpha_1+\alpha_2\rho_1 \\ \rho_2=\alpha_1\rho_1+\alpha_2 \\ \rho_k=\alpha_1\rho_{k-1}+\alpha_2\rho_{k-2} \end{cases}$$ ...
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42 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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A proof for the stationarity of an AR(2)

Consider a mean-centred AR(2) process $$X_t=\phi_1X_{t-1}+\phi_2X_{t-2}+\epsilon_t$$ where $\epsilon_t$ is the standard white noise process. Just for sake of simplicity let me call $\phi_1=b$ and ...
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91 views

Wold Representation for an ARMA (1,1)

I have this ARMA(1,1) process where $\epsilon_t$ is the classical White Noise process$$X_t=\epsilon_t +\alpha_{t-1}\epsilon_{t-1}+\theta_{t-1}X_{t-1}$$ and I have to write its Wold representation. ...
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1answer
47 views

The likelihood that a time series is generated by certain ARMA(p,q) ?

I have a group ( only 20 of them, each one has 170 time pointers) of time series that I can consider as "GOOD", meaning, they have consistent statistical characteristics. I am not sure how they are ...
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1answer
983 views

How to interpret ACF and PACF plots

I just want to check that I am interpreting the ACF and PACF plots correctly: The data corresponds to the errors generated between the actual data points and the estimates generated using an ...
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1answer
64 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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21 views

unconditional volatility from an Arma-Garch process

I know that one can easily get variance (unconditional) of a Garch (r,s) process : $\sigma^2= \frac { \alpha_0 } { (1- \Sigma_{i=1}^r \alpha_i - \Sigma_{j=1}^s \beta_j ) }$ However I am struggling ...
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67 views

Can AIC be used to compare an ARMA model to an ARMA-GARCH model?

Suppose I have one time series and two competing models that describe it. Model 1 is ARMA$(p_1,q_1)$, model 2 is ARMA$(p_2,q_2)$-GARCH$(r,s)$. I obtain AIC values of model 1 and model 2. I would ...
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62 views

ARMA(p,q) model interpreting PACF and ACF

Here I have two time series (ACF, PACF), one on the left and one on the right. I have difficulties interpreting the results. Both PACF/ACF couples look the same and I can't distinguish any geometric ...
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77 views

AR terms and independent variable as regressors

After trying several models with my data, R^2 and p values are showing my model looks like below. ACF plot tells me AR term is significant. Insights into data tells me change in 'x' would have ...
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is it possible a nonstationary time series, to produce a stationary ARMA model?

I Have a variable (time series) which is nonstationary. I found that from the graph which seems to have a stochastic trend and the correlogram has a typical nonstationary pattern. After that, I've ...
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1answer
219 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 ...
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343 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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49 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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91 views

Time series estimation on specific lags in ARMA model

How can I fit this ARMA model having specific lags using R?
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22 views

Structural break test on an arma model any statistical software packages [duplicate]

Is there a way to do a structural break test on an arma model using any of the statistical packages except eviews? My dataset is too large for eviews. I have a policy change about the middle of a ...
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128 views

Estimating ARMA equation using lm() in R

Is there a way to estimate an ARMA equation using the lm() function in R without using arima()?
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446 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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200 views

How to compare time series with cyclical data, and describe any changes or trends

I have a bunch of time series where the data has a natural (known) cycle, for example daily or annual (or both). Here is an example (this is 6 years worth of temperature data sampled hourly): ...
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1answer
221 views

strucchange package on ARIMA model

Is there a way to use strucchange package in R on ARIMA models? I haven't been able to find any. Thanks a lot.
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45 views

Properties of MLE and least squares methods for estimating parameters of ar(ma) models

I have annual data that seem to have a bimodal density function. My explaination is that there is a distinction between wet and dry years. For my work I would like to use an ar(1)-model for this. ...
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71 views

Box-Ljung degrees of freedom for residuals of advanced GARCH-like model

Diagnostic checks of ARMA-GARCH residuals via Box-Ljung tests. I am not sure if I use the correct degrees of freedom. An arbitrary example: ARMA(0,1)-eGARCH(2,1)-SkewedStudent's-t. Output: ...
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66 views

First order autocorrelation of a certain AR process

How could I compute the first order autocorrelation of the process $x_t = \delta + \phi x_{t-1} + \eta_t$? Could anyone give me some pointers? I tried this: $E(\delta + \phi x_{t-1} + \eta_t - ...
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166 views

Prove expression for variance AR(1)

For the AR(1) process $x_t = \delta + \phi x_{t-1} + \eta_t$, I am trying to prove that the variance is: $\sigma_x^2 = \sigma_\eta^2/(1-\phi^2)$ And that the first-order covariance is: ...
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65 views

Why is an ARMA model a parsimonous approximation of an AR model?

I am reading a book on time series and I came across the following: "In addition to being a parsimonous approximation to a high-order AR(p) model, ARMA models...". Why is an ARMA model a (parsimonous) ...
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1answer
124 views

relationship between ARMA and AR

I once heard some statements regarding the relationship between ARMA and AR process, such as An average of severl lags of an autoregression forms an ARMA process ...
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33 views

comparing ARMA coefficients

I am comparing two sections of a single time series on the date that a policy change has occurred. How do I compare two ARMA coefficients? Do I use t test? Thanks a lot.