# Tagged Questions

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### Why does differencing time-series introduce negative autocorrelation

For example, this mentioned here: link. I also saw this in my data. I wonder - does anyone know a good reference where this is explained and justified more rigorously with some math and for some ...
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### SARIMA estimation

I am trying to manually estimate the non-seasonal components of an SARIMA (p,d,q)x(P,D,Q)[s]. I thought the estimation is going the same way like in ARIMA, but the output says somehow something ...
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### Applying ARIMA in R

Small question as a follow up from this topic: Relationship between two time series: ARIMA I am trying to reproduce the above through R. In the first steps, IrishStat applies AR(1) on doubly ...
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### 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 ...
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### 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 ...
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### Autocorrelation of nonstationary IMA(1,1) process

I knwo that the autocorrelation in MA(1) process varies between -.5 and +.5, if we consider d(t)=c+e(t)−θ⋅e(t−1),then for positive values of Theta, autocorrelation is negative and for negative values ...
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### Forecasting stock prices time series based on independent factors using ARIMA model

I am trying to forecast time series of stock for a particular case in which closing value of the stock depends on independent factors which is in which infact another time series. Situation is like I ...