# Tagged Questions

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### 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 ...
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. ...
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### 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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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)? ...
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 ...
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 ...
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: ...
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 ...
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 ...
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? ...
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 $p$ ...
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 ...
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 ...
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### 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 ...
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 ...
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 ...
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 ...
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### 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 ...
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 ...
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 ...
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. ...
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 ...
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 ...
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### 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 ...
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: ...
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### 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 ...
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 ...
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### 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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 = ...
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. ...
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 ...
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: ...
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 ...
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 ...
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 ...
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 ...
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? ...
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 ...