0
votes
0answers
20 views

Arima model - multi step forecast

The following code shows a forecast of the next 24 hours of my electricity prices with two exogenous variables. My problem is, that I don't know how to build a forecast for the next 3 days or more ...
3
votes
3answers
107 views
+200

ARIMA Intervention Transfer Function - How to Visualize the Effect

I have a monthly time series with an intervention and I would like to quantify the effect of this intervention on the outcome. I realize the series is rather short and the effect is not yet concluded. ...
1
vote
0answers
9 views

is.constant() function in auto.arima() R [migrated]

In R, while viewing the source code of auto.arima() I noticed a function called is.constant(). What is the functionality of ...
1
vote
1answer
15 views

Stationarity consideration in ARIMA using KPSS test

I have data, which I am sure has a downward trend. I am trying to forecast this data using ARIMA and I want ARIMA to consider the trend when it is forecasting. The first step in ARIMA is to ...
0
votes
0answers
20 views

Kalman Filter Correction efficiency

I was wondering if Kalman Filter used in a way to correct and reduce forecast errors is useful in real life forecast.Since we are using output forecast data and measurement data from t-1 to correct ...
1
vote
2answers
51 views

R: How to to simulate ARIMA using starting values?

I have built an ARIMA(p,d,q) model, m using say, m <- Arima(ts.data, c(p,d,q)) Given some starting values, I want to simulate future values based on the ...
1
vote
0answers
62 views

Forecasting using auto.arima

I have the weekly revenue data for an electronics company the decomposed plot of which is as follows: I have decided to keep the seasonality and apply a suitable forecasting technique. I tried ...
1
vote
0answers
43 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 ...
4
votes
4answers
112 views

Determining parameters (p, d, q) for ARIMA modeling

I am fairly new to statistics and R. I would like to know the process to determine the ARIMA parameters for my dataset. Can you help me figure out the same using R and theoretically (if possible)? ...
1
vote
0answers
48 views

ARIMA - SARIMAX modelling with R

I am really new to R and to time series. My field of studies is in the field of Networks and Telecommunication, but my summer internship is about trying to find a statistical model for some sets of ...
1
vote
1answer
39 views

determining the order of Box-Jenkins modeling process

I have this problem on what model class (AR,MA,ARMA,ARIMA,etc) will I use on my data I'm using Box-Jenkins process and what order( say 1,0,1) will I use. I already done many transformations on my data ...
1
vote
1answer
38 views

Different estimated parameters in similar models in R

A particular series (std), seems to exhibit a trend-like behavior. According to the ADF test for this series: ...
0
votes
1answer
102 views

How to forecast multivariate time-series 'accurately' with a large number of unknown factors using R?

I am relatively new to statistics and not formally trained but have been given a complex problem to solve and need some guidance. I realise that I am out of my depth a bit here but would appreciate ...
0
votes
2answers
99 views

Daily forecasting

We have three years of data for online visits at a daily level. We want to forecast the daily visits for the next 90 days. What would be the best method to capture weekday seasonality , holiday ...
1
vote
1answer
59 views

GARCH-M(1,1) where ARMA(0,0) is “removed” in R

Which of the following is the correct code for fitting a GARCH-M(1,1) model where the ARMA(0,0) is "removed"? Or what is the correct code? ...
0
votes
0answers
27 views

Optimizing Dynamic Regression in R

I am running a dynamic regression model in R. How can I reach at the optimal orders $p$,$q$,$r$? I tried from a few values varying from $0$ to $3$ for each of $p$ ...
0
votes
0answers
54 views

Building an ARMA or GARCH estimation battery for models of increasing order (rugarch in r)

A loop should be build to fit ARMA and/or GARCH models of increasing order, say GARCH(0,1), GARCH(1,0), GARCH(1,1), GARCH(0,2) etc. The language is r, and I'm using the ...
0
votes
0answers
32 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
votes
0answers
75 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
1answer
50 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
82 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 ...
1
vote
0answers
62 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 ...
1
vote
0answers
62 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
77 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
vote
0answers
267 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 ...
2
votes
2answers
229 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. ...
3
votes
1answer
142 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
76 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
57 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
295 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
51 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 ...
3
votes
3answers
385 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
46 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
63 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
189 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
57 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
158 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 ...
1
vote
1answer
266 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
137 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
411 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. ...
1
vote
1answer
96 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
90 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: ...
3
votes
1answer
208 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 ...
3
votes
2answers
1k 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
407 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
149 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
421 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
827 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
381 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 ...
5
votes
2answers
134 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 ...