ARMA is an acronym for auto regressive moving average; ARMA are one form of model for time series. See ARIMA
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41 views
With regard to ARMA time series, what exactly is eacf (extended auto-correlation function)?
I'm going through my copy of Analysis of Financial Time Series, 2nd Edition, and I'm at the ARMA portion. One of the techniques for model selection is computation of the extended auto-correlation ...
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0answers
15 views
cointegration - mixing S & NS regressors; how to test for stationarity; so on
I would like to model a non-stationary variables as a function of 2 other non-stationary variables, in addition to two stationary variables and several dummy variables. The NS dependent variable and ...
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1answer
55 views
Z test of coefficients of output?
I have fitted a certain ARMA model and got the following output:
As you can see, some coeff were set to zero and the focus is on the ma5 coeff and the intercept. To be exactly, the ma5 coeff is ...
2
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1answer
51 views
What do you think is the trick making ARMA/ARIMA a good method for forecasting?
I cannot say I am very familiar with ARMA (I must admit that I am kind of biased to begin with, so for a long time, I haven't tried to bother with AR/MA-like linear models).
However, for some reason, ...
3
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2answers
72 views
Confidence bands in case of fitting ARIMA in R?
I want to look at the acf and pacf of my data, to identify the model for my mean equation, so I want to fit an ARMA for my mean equation and later on model the conditional variance by a ARCH/GARCH (I ...
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1answer
65 views
How to fit ARMA(4,4) model, but some coefficients set to zero / fixed?
Suppose I have the following ACF and PACF (data:
I want to fit an ARMA-GARCH process. Currently I want to do the first step, specify the mean equation. The first model just uses a constant $\mu$, so ...
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1answer
43 views
Error message of ugarchfit? [closed]
I try to fit an ARMA-GARCH process to my data. I use the rugarch package
The mean equation should be "nothing", so no Ar no MA and no intercept.
The volatility equation should be equal to ...
2
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0answers
16 views
Model notation correct? ARMA(p,q)-GARCH(r,s)
For my variable $l_t$ I want to use an ARMA(p,q)-GARCH(r,s). So the mean equation follows an ARMA(p,q) and the conditional volatility is modelled by a GARCH(r,s). Is my notation correct?
4
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1answer
115 views
Is this an ARMA(1,1) or something else?
I have a company, for which I calculated the logarithmic loss (-logarithmic return). Now I want to fit a mean equation to the returns, so I have to think about fitting an ARMA(p,q). I lookt at the acf ...
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0answers
29 views
Converting ARMA models to infinite AR process in R
I'm trying to recreate some test statistics that use the infinite AR representation of normal ARMA models. I found out about the function ARMAtoMA but have not been able to find the same functionality ...
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0answers
21 views
Length of time series and likelihood estimation
In ARMA (with normal errors) model estimation, are there any empirical studies or tests to judge the minimum number of observations (length) of the time series that are required such that OLS is an ...
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0answers
40 views
Efficient numerical methods to estimate ARMA models?
I mean exact likelihood based estimation instead of these LS methods.
There are more general nonlinear optimzation methods, but in terms of performance, are there any specific methods for this type ...
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2answers
103 views
ARMA regression
I am studying stock price.
I first define that the ln(price) has an obvious unit root of 1 lag.
I was wondering if someone could explain me how to proceed to construct a correct ARMA model...?
...
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1answer
67 views
Time series modeling with independent variables
Let's say that I have data depicting the number of museum visits per day. My challenge is to understand how certain external (exogenous?) variables, e.g., weather and advertizing affect the number of ...
1
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0answers
37 views
ARMA MLE - matrix setup
I am trying to estimate ARMA(2,1) series parameters via ML, but unfortunatelly I am confused of setting up Matrix "Gamma" . I have seen plenty of articles regarding this, but it seems like this an ...
0
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0answers
72 views
ARMA parameter estimation WITH CONSTRAINT
Anybody know how to estimate arma parameters in R with an additional constraint that the parameter estimates are positive (NEED NOT SUM TO ONE)?
I used arma(... ) in R, but had to give up on that as ...
2
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1answer
80 views
What is the intuition of invertible process in time series?
I'm reading a book on time series and I started scratching my head in the following part:
Could someone explain the intuition for me? I couldn't get it from this text. Why do we need the process ...
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0answers
86 views
How does software generally fit ARMA models?
When fitting data to get coefficient estimates for ARMA models, how are the MA terms generated by the software to fit the data?
Every time I try to fit some data, wouldn't I get different values, as ...
2
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2answers
156 views
How is the MA part of ARMA solved for?
In an AR model the coefficients on the lags can be solved for using least squares. How is the MA part of ARMA solved for? Since the MA part is a sum of white noise terms I imagine that it is not ...
5
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2answers
132 views
How to understand the square of an AR(1) process?
I generate an AR(1) process as follows:
x=arima.sim(list(order = c(1,0,0),ar=0.67),n=1000,sd=sqrt(0.55))
When I square it, and fit AR(1) to the squared process, ...
1
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1answer
53 views
“Continuing” an ARMA process
I have a time series and fitted an AR(I)MA object (I really just want an ARMA process so the order is (p,0,q)) in R. Now I'd like to "continue" that process (I guess what I mean is perform ...
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0answers
70 views
Criticism, please: simplifying state space model
As a little experiment, I am extending a nice, interpretable AR/MA relationship between a security $r$ that is variably influenced by the previous $k$ time points over another security $f$. These ...
3
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1answer
244 views
Testing periodogram “peaks”: sine-like wave or AR/MA/ARMA noise?
I'm performing an harmonic fit to data I know (from physical constraints) come from a periodic source of the form
$$\sum_j^M \sum_i^N a_{i,j}\sin(2\pi f_it)+b_{i,j}\cos(2\pi f_it)$$
using the ...
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2answers
326 views
Filtering using ARMA model in R
I have two time-series, x and y. I would like to prewhiten x by fitting an ARMA(p,q) (or in ...
4
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1answer
431 views
What is the difference between GARCH and ARMA
I am confused. I don't understand the difference a ARMA and a GARCH process.. to me there are the same no ?
Here is the (G)ARCH process
$\sigma_t^2 =
\underbrace{
\underbrace{
\alpha_0 ...
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0answers
104 views
Recommendations on methods to predict sales data
I'm very inexperienced in statistical analysis. I think my question is fairly basic so I hope I can get some good pointers so I will be able to learn more efficiently.
I have extensive hourly sales ...
2
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0answers
124 views
Statistical test for whether a process is a red noise
We know that red noise is the same as a first-order autoregressive (AR(1)) stationary Gaussian process with a positive correlation at unit lag. Does there exist some formal statistical test for red ...
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3answers
416 views
Random generation of ARMA(2,2) Gaussian time series
I get very poor replication of longitudinal parameters from my own program using the Box-Jenkins model. I had no such problem with my own program generating AR(1) Gaussian data. Is there some trick ...
1
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1answer
150 views
If you perform an ARMA on the volatility and add the squared returns as external variable, do you obtain a GARCH?
I wanted to focus on volatility forecasting, so instead of asking R to compute a GARCH where it would compute the errors on the returns, I wanted to model the volatility as an ARMA and add an external ...
2
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2answers
517 views
Stationary ARMA model as infinite AR or MA process
How can a stationary, invertible ARMA(1,1) process be represented as
either an infinite order AR or infinite order MA process?
2
votes
2answers
301 views
On ARIMA and its implementation
I am interested in ARMA/ARIMA models. First off, is there any material online about how to identify such models? It is done via acf and pacf, but I find the material I found online somewhat ...
6
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1answer
162 views
Using ARMA when data is missing
I am using ARMA over a dataset with missing samples. How do I treat them? Would you suggest to make linear/nonlinear interpolation or just keep them out and consider two samples with missing data in ...
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1answer
821 views
What is one-step ahead static forecast?
I was using Eviews, and I noticed that there is 'dynamic forecast' and 'static forecast' in the option. But I don't know what is the difference, would any one tell what are they? But I know that both ...
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1answer
101 views
Discrete scenarios from an ARMA forecast
Given an ARMA model and a historical time series, I'm trying to create a set of $n$ forecast scenarios, where each scenario $s$ is a potential future hourly time series $x_s[t]$, with a given ...
2
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1answer
309 views
Bias of autocorrelation function in finite sample for ARMA processes
I remember reading that, when estimating the autocorrelation function of a univariate ARMA time series using finite samples, the estimate is biased and specifically the lag-1 ACF is negatively biased ...
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1answer
488 views
C# ARMA library
Do you know any C# library or source code that can be used for ARMA / ARIMA forecasting?
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2answers
167 views
Gaussian ARMA process with non-gaussian innovations
Can a gaussian ARMA process have non-gaussian innovations? (i.e., is there an ARMA process that is gaussian, but the corresponding innovations are not gaussian)?
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1answer
291 views
R Arimax Function
I want to make forecast on my data by running an arimax model.
The data is like:
...
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0answers
144 views
time series analysis-class-exercises [closed]
suppose that {wt} and {zt} are independent and identically distributed (i.i.d) sequences, with p(wt=0)=p(wt=1)=1/2 and p(zt=-1)=p(zt=1)=1/2. Define the time series model ...
6
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2answers
786 views
How is ARMA/ARIMA related to mixed effects modeling?
In time series analyses, I have used multi-level or random/mixed effects to deal with auto-correlation issues (i.e., observations are clustered within individuals over time) and added controls are ...
2
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2answers
414 views
ARMA model coefficient standard errors
I'm writing Python code to use the Kalman State-space approach to estimate ARMA model coefficients using MLE however, I'm not too clear on how to derive the coefficient estimates standard errors from ...
5
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0answers
83 views
Is there an equivalent of ARMA for rank correlation?
Hi
I am looking at extremely non linear data for which the ARMA/ARIMA models do not work well. Though, I see some autocorrelation, and I suspect to have better results for non linear autocorrelation.
...
