0
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0answers
16 views

How to compare forecasting methods: based on ARIMA and curve fitting?

I'm making a project connected with identifying the dynamics of sales. My database concerns 26 weeks (so equally in 26 time-series observations) after launching the product. I want to make forecast ...
0
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0answers
43 views

What is the difference between forecasting based on ARIMA and logistic curve? R

I'm making a project connected with identifying the dynamics of sales. My database concerns 26 weeks (so equally in 26 time-series observations) after launching the product. This is what my database ...
0
votes
0answers
14 views

High Ljung-Box p-values at large lags

I am trying fit an ARIMA model to stock returns. I have reached a decent model using the AIC criterion. However, the ljung-box p value under a diagnostic plots are pretty weird. The null ...
0
votes
1answer
30 views

Want to make a function which allows for recursive window forecasting

I have been looking for a function that can make recursive window out-of-sample forecasts, but seems there is none. So I'm thinking about about making a function that can be used for recursive window ...
0
votes
0answers
24 views

(R) Automatically calculate optimized Arima(p, d , q) value [migrated]

I'm developing automatic forecast Software with JAVA & R. The following steps are used in R to forecast next 18 values: ...
1
vote
0answers
32 views

How to forecast a Markov Switching Model

I have the following Markov Switching Model. Transition Matrix: $$ \left[\begin{matrix} 0.85387 & 0.91973\\0.14613 & 0.080265 \end{matrix}\right] $$ With Regime 1: Intercept: 0.00839 ...
0
votes
0answers
44 views

Time series and stationnarity tests

I perform some time series fitting with the help of the forecast and urca packages. I have a question regarding the correspondance between results coming from statistical test such as KPSS, ADF or ...
1
vote
0answers
46 views

ARIMAX for modelling daily sales

I am trying to model daily sales for a take out restaurant. They are only open on business days - no holidays or weekends - as their primary clients are office workers on their lunch breaks. Below is ...
1
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0answers
113 views

Forecasting daily data with trend, yearly, day of the week, and moving holiday effects

I'm expanding a question I posed earlier because I think it was lacking detail. I'm attempting to forecast daily demand for a restaurant that sells take away food, primarily to office workers on ...
1
vote
1answer
50 views

Warning message in auto.arima

I am using auto.arima() for prediction, and getting the following warning message. I want to know if I can ignore this warning message or if I should be worried. ...
2
votes
1answer
103 views

How do I interpret regression coefficients with autocorrelated residuals?

I am building a regression model of time series data in R, where my primary interest is the coefficients of the independent variables. The data exhibit strong seasonality with a trend. The model ...
1
vote
1answer
75 views

help on how to include term $\exp(β_t)/(1+\exp(β_t))$ in AR(2) model

I am trying to include a term in an AR(2) model: $$Y_t=\left( a_0+a_1 \frac{\exp(\beta_t)}{1+\exp(\beta_t)}\right)Y_{t-1}+bY_{t-2}+\delta\epsilon_t$$ Can anyone please help me with this? I don't seem ...
0
votes
1answer
39 views

Why are fitted values different from one-step ahead forecasts?

Let's say I fit an ARIMA model on a time series up to date t. I want to forecast the 10 next values without refitting the model but also using the latest data available for each date. So forecast ...
1
vote
2answers
80 views

How to put an exogenous variable into the ARIMA model?

I don't know how to put my exogenous variable in ARIMA model. I use number of tourists ('number of torism' below) in an ARIMA model and 'CLI_Index' for exogenous variable My code in R: ...
0
votes
0answers
21 views

Estimation/Calculation of intercept with ARIMA model after differentiating

I am performing regression with ARIMA model because of autocorrelation of my data. My data are the concentration of air in the workplace and gathered by real time monitor with interval of 1 minute. I ...
4
votes
3answers
252 views

Performing a time series ARIMA model on natural gas power demand using the forecast package from R

I've been attempting to forecast natural gas power demand and how it is affected by temperature and price. I'm not sure if I have done everything correctly (relatively new to R), but I do seem to get ...
1
vote
1answer
35 views

Fitting a reduced-form MA(3) time series model in R

I am trying to fit an ARIMA model for a certain financial time series. I've used EViews for modeling, and have decided to fit a so-called reduced-form MA(3) model, where only the third lag is ...
2
votes
1answer
45 views

R auto.arima() with non-stationary covariates

I want to fit an ARMA model with covariates to a non-stationary time series. I have daily measurements for water flow for 4 stations (S1-S4) and the time series is not stationary, so I will have to ...
1
vote
2answers
96 views

Difficulty with auto.arima function results

I am new to R and the ARIMA model and I am attemping to forecast 1440 values into the future using a base of roughly 5000 numbers. It is data extracted roughly every minute from a machine ...
0
votes
0answers
41 views

Prediction intervals predict.Arima r

I would like to ask how the long-term (multiple step ahead) prediction intervals are calculated by function predict.Arima in R. I am particularly interested in ...
1
vote
0answers
104 views

R - ARIMA model with long seasonal periods - Error: “length of x and xreg does not match”

i want to use an ARIMA model in R for predicting an electrical load on a minutely basis. By examining the ACF I figured out which model could suit. The ACF has shown that the value one day ahead has a ...
0
votes
1answer
114 views

Outlier detection in ARIMA model with R

After fitting my time series with an ARIMA model, I want to test outliers in the residuals' series. Are there any functions in R that could do this test and furtherly test whether the outlier is ...
0
votes
0answers
74 views

How to extract bootstrap forecasts from forecast.Arima in the R package forecast?

In a forecasting context, I have two different time series: y = {y1, y2, .., yn} and z = {z1, z2, ..., zn}. In R, let's say that the two series are as follows: y <- arima.sim(list(order = ...
3
votes
1answer
228 views

ARIMA vs ARMA on the differenced series

In R (2.15.2) I fitted once an ARIMA(3,1,3) on a time series and once an ARMA(3,3) on the once differenced timeseries. The fitted parameters differ, which I attributed to the fitting method in ARIMA. ...
0
votes
0answers
45 views

Trying to Refine SARIMA models

I have a SARIMA forecast from statewide Real Estate Sales data.. but I'm not happy with it. The SARIMA parameters are confusing to say the least. I am finding that the current model is not ...
1
vote
2answers
74 views

How can I replicate R forecasts for seasonal ARIMA?

I have obtained the following estimations and forecasts in R for a seasonal ARIMA(1, 0, 1)(1, 0, 1)[7] model1 Series: PO ARIMA(1,0,1)(1,0,1)[7] with zero mean Coefficients: ...
2
votes
1answer
120 views

Estimate single ARIMA for multiple timeseries

I have two groups of time-series, each group represents one type of data. However within each group, each time series may be fitted with a different ARIMA(p,d,q) from the other time series in the same ...
2
votes
2answers
744 views

Extract BIC and AICc from arima() object

Problem: I would like to extract the BIC and AICc from an arima() object in R. Background: The arima() function produces an output of results, which includes the estimated coefficients, standard ...
0
votes
1answer
259 views

Transfer functions in R (TSA package)

In Time Series models’ transfer functions there is a decay parameter in the formula (let’s call it b). In TSA package that decay parameter is not mentioned. When I used other software before (such as ...
1
vote
1answer
133 views

Time Series Modeling with Lagged Variables

I have a dataset with columns that represent lagged values of predictors. To illustrate with a simple example, suppose we had car sales data for 3 years and the only predictors available were income ...
3
votes
3answers
302 views

Log or square-root transformation for ARIMA

With the below dataset, I have a series which needs transforming. Easy enough. However, how do you decide which of the SQRT or LOG transformations is better? And how do you draw that conclusion? ...
4
votes
2answers
535 views

How to remove seasonality from daily electricity demand

I want to remove seasonality from daily electricity demand (a time series). My understanding is there is weekly (high demand on Tue, Wed, and low demand on Sat, Sun) and annual seasonality (high ...
1
vote
1answer
251 views

Is this a bug in auto arima or am I doing something wrong?

I must be doing something very wrong here, as auto.arima in R is completely dying, but I can't see what it is. I have the latest version of forecast and R and I think this happens on both Windows and ...
4
votes
2answers
113 views

Predicting a baseline response using ARIMA forecasts

I have a modelling dilemma. I am creating a model that attempts to predict demand (leads not sales) based upon the correlation to advertising spend. We know that without advertising spend, demand is ...
1
vote
1answer
174 views

Residuals in R using auto.arima and forecast package

I am fitting a model using the auto.arima function in package forecast. I get a model that is AR(1), for example. I then extract ...
1
vote
1answer
438 views

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 ...
2
votes
1answer
299 views

auto.arima and prediction

I'm really new to ARIMA methods and am trying to forecast electricity load. I've integrated: electricity load, temperature, weekday (dummy), public holidays, and school holidays. My model tries to ...
0
votes
0answers
99 views

Maximum lags in Durbin-Watson test

I used ARIMA modelling for predicting the water characteristics in water treatment plant. I used Durbin-Watson test from Car package (durbinWatsonTest) for ...
0
votes
0answers
40 views

critical look at auto .arima in forecast package in R [duplicate]

I asked a question earlier in the forum on auto arima click here Performance evaluation of auto.arima in R and UCM on one dataset. The auto.arima provided strange forecast, upon further looking at the ...
0
votes
1answer
76 views

ARIMA forecasting life expectancy

I'm working on the forecasting of life expectancy actually. I have written code following the usual procedure. The results are not trustworthy because the life expectancy should have a positive slope ...
0
votes
1answer
146 views

Assessing Seasonal Covariates in a Seasonal ARIMA Time Series Model

I am using R to develop an ARIMA model to evaluate the influence of several seasonal covariates (e.g., meteorological data) upon the incidence of a seasonal disease. I have weekly data available and ...
5
votes
3answers
717 views

Performance evaluation of auto.arima in R and UCM on one dataset

I started evaluating and comparing some methods in forecasting. I used Price of dozen eggs in US, 1900–1993, in constant dollars in the R software FMA package. I held out the last 10 years for ...
1
vote
0answers
106 views

ARIMA Models in R, implementing in C

I need to take the output parameters from an ARIMA model fitted in R from the following set (1,0,1), (0,1,0), (1,1,0), (0,1,1), (1,1,1) of models and implement the prediction function in C. I DO NOT ...
1
vote
0answers
71 views

When using the exreg argument in auto.arima in R, is the main series still being used as a predictor?

What is the purpose of and how to use the xreg argument when fitting ARIMA model in R? My question relates to how the xreg argument is working when fitting an ARIMA model (purpose of xreg described ...
4
votes
1answer
235 views

Why does auto.arima() give negative output?

This is the dataset on which I am working currently, which is production data. Data: ...
5
votes
2answers
512 views

auto.arima does not recognize seasonal pattern

I have a daily weather data set, which has, unsurprisingly, very strong seasonal effect. I adapted an ARIMA model to this data set using the function auto.arima from forecast package. To my ...
2
votes
0answers
160 views

R forecast package: How to combine fourier terms with another XREG matrix

I'm using R forecast package with a daily time series data, that has complex i.e. Multiple seasonality (weekly, Yearly, monthly). The fit/forecast process also needs to take into account certain day ...
2
votes
1answer
2k views

Ljung-Box Statistics for ARIMA residuals in R: confusing test results

I have a time series I am trying to forecast, for which I have used the seasonal ARIMA(0,0,0)(0,1,0)[12] model (=fit2). It is different from what R suggested with auto.arima (R calculated ...
1
vote
1answer
210 views

How do I estimate the $e_t$ from a moving average model?

I have an ARIMA(0,2,1) model. How do i estimate the $\hat{e}_t$ component of the model. I have read a whole lot of theories that confuses me the more. Is there any ...
1
vote
2answers
212 views

Call volume: time series regression model from 52 weeks a year and lagged predictors

I have been adamantly searching the web to learn how to successfully implement a dynamic regression time series in the forecast package for R. The time series data that I am using is weekly data ...