Tagged Questions
4
votes
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 ...
1
vote
1answer
59 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 ...
0
votes
0answers
68 views
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 ...
1
vote
2answers
838 views
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 ...
2
votes
3answers
432 views
How to exploit periodicity to reduce noise of a signal?
100 periods have been collected from a 3 dimensional periodic signal. The wavelength slightly varies. The noise of the wavelength follows Gaussian distribution with zero mean. A good estimate of the ...
2
votes
2answers
366 views
Methods for evaluating partial autocorrelation for identification of ARIMA models
I am trying to programmatically identify an ARIMA model for a series of data and forecast values.
Currently the problem i am facing is to find a way to evaluate partial autocorrelation. I have been ...
