2
votes
1answer
42 views

R: forecast function accuracy for ARIMA models

I have a problem with the forecast function for ARIMA models in R. It calls predict that calls ...
1
vote
0answers
20 views

Retreiving Integrated Fitted Data from Stationary Fitted Data

Note that this is a simplified example: I have some time series that I made stationary by differencing twice. Then I ran arima on it, and set d = 0 to prevent ...
1
vote
2answers
35 views

Arima with xreg, rebuilding the fitted values by hand

I'm using R to do some time series estimation. I'm trying to rebuild the fitted values from an Arima model by hand to use in an Excel spreadsheet using the estimated coefficients and the input data. ...
0
votes
0answers
56 views

Arima function doesn't consider seasonal components

Currently trying to fit several models to some data sets in order to find an accurate enough one, I ran into some difficulties with the Arima function of the ...
0
votes
0answers
17 views

VARMAX model in R

Is there a function in R that estimates the VARMAX model? There is one for a VARX (MTS package), but I didn't find one that works with the MA part also...
1
vote
0answers
47 views

Multiple and long seasonality for a SARIMA model in R

While working on a big data set made of 10-minutes-points of information - i.e. 144 points per day, 1008 per week and ...
0
votes
0answers
18 views

Obtaining the Psi Weights of a seasonal ARIMA in R

I am trying to quantify the effect of a future random shocks on my seasonal ARIMA model. If I have understood the theory correctly, the easiest way is to express my seasonal ARIMA model in its "random ...
0
votes
0answers
16 views

Missing Value in Commodities Prices

I am trying to model the prices of four energetic commodities with ARIMA models in R. Unfortunately the price series is not regular, as for some days, like Christmas, no price is given. My series is ...
1
vote
1answer
29 views

How are error terms calculated for moving average model in R [duplicate]

For an ARIMA (0,0,1) model, I understand that R follows the equation: xt = mu + e(t) + theta*e(t-1) (Please correct me if I am wrong) I assume e(t-1) is same as the residual of the last observation. ...
0
votes
1answer
46 views

Errors when fitting a SARIMAX model in R

Currently working on big data sets, I would like to fit a SARIMAX model to it in order to forecast future values. Here are my questions : Q1. As a matter of information, does anybody know how does R ...
0
votes
0answers
28 views

R function which uses innovations algorithm?

I can't seem to find much info on the following: I have a dataset D at time t which I use to fit an ARIMA model. I forecast the value of the time series at time t + 1. Now, when I'm in t + 1, I would ...
0
votes
0answers
32 views

Problem when doing pre-whitening before ccf analysis [migrated]

I have following R code which does not work when trying to pre-whiten other series by the model generated for the other series. ...
0
votes
0answers
19 views

Can we easily avoid the “maximum supported lag is 350 error” when using the ARIMA function in R? [migrated]

I am currently fitting a SARIMAX model to big data sets. Information is retrieved every 10 minutes, so I have a vector of size 52560 for a year of data. Considering it is representing electricity load ...
0
votes
0answers
43 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
228 views

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
21 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
25 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
56 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
85 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 ...
10
votes
2answers
170 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
140 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
63 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
47 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
40 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
116 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
3answers
116 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
67 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
31 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
63 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
34 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
85 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
51 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
106 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
69 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
70 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
81 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
317 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
277 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
155 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
77 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
67 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
366 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
57 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
418 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
48 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
72 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
218 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
61 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
181 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 ...