Tagged Questions
0
votes
1answer
45 views
Which is the better method to do forecast..1-step or h-step ahead?
I am using forecast() package in R to predict future values. I have a time series data
for approx 6-7 years.
First, I split the data into training set and test
set. Test set contained values of the ...
0
votes
0answers
40 views
ARIMA forecasting with external regressors
I am trying to build ARMAX models using auto.arima. I have a time series to forecast (weekly and monthly seasonality, I've put the ts() frequency=7), another two time series as external regressors, ...
2
votes
1answer
80 views
Which is the best accuracy measuring criteria among rmse, mae & mape?
I have created training set and test set from my data. Then I performed auto.arima() and ets() in R on the training set to predict one-step ahead forecasts. These were then compared with the test set ...
2
votes
0answers
45 views
Best practices for dealing with shifting, inconsistent seasonality
This question is related to a previous post I've looked at (Calculation of seasonality indexes for complex seasonality), but deals with more granular data (daily instead of weekly), and transforming ...
2
votes
0answers
38 views
Dummy variables for time series
I'm a new user on R. I'm stuck on my times series research currently with the some questions. Not sure anyone can help me.
Dummy variable.
I wanted to add more than 1 dummy variable in the model. ...
0
votes
1answer
35 views
Exogeneous regressors in auto.arima and using them in forecast function in R
I'm trying to forecast a seasonal time series based on its historical values, and also two more time series (that are seasonal themselves.)
I'm trying to use an auto.arima, and I'm going to input ...
0
votes
0answers
35 views
Identification of Integer valued ARIMA process, INARIMA
I was wondering if there is any tools like R that can be used to identify the Integer valued ARIMA process? I know that using forecast package in R we can identify the ARIMA process , is there any ...
4
votes
1answer
116 views
Time Series Forecasting with Daily Data: ARIMA with regressor
I'm using a daily time series of sales data that contains about 2 years of daily data points. Based on some of the online-tutorials / examples I tried to identify the seasonality in the data. It seems ...
3
votes
1answer
71 views
Variance of a time series fitted to an ARIMA model
I think this is a basic question, but maybe I am confusing the concepts.
Suppose I fit an ARIMA model to a time series using, for example, the function auto.arima() in the R forecast package. The ...
0
votes
0answers
40 views
Seasonality Period in ARIMA function in R - How to Interpret
I've used the ARIMA function in R to fit my data to the best possible model. My data consists of daily information and there ...
1
vote
1answer
37 views
How to estimate certain parameters of an AR model in R?
I need to estimate parameters of an AR model which is in the form of AR(1,11) it means that coefficients of AR orders from order 2 until order 10 are zero. How can I estimate these two parameters in ...
1
vote
1answer
60 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 ...
3
votes
0answers
34 views
How to form a confidence band around the trend fitted from time series data
I have a time series data set. I can decompose it and get the trend but I would like to put confidence ranges around the trend (past) not the forecast-ed component. The decompose function also ...
2
votes
1answer
99 views
ARIMA forecast with seasonality and trend, strange result
as I am stepping into forecasting with ARIMA models, I am trying to understand how I can improve a forecast based on ARIMA fit with seasonality and drift.
My data is the following time series ( over ...
3
votes
0answers
65 views
How to do a multiple regression with ARIMA using R?
I am analyzing some tree physiology data (transpiration) in relation to a number of environmental variables (many of which are predictors such as temperature, PAR and vapour pressure deficit).
I ...
1
vote
1answer
53 views
How to use a fitted model parameters for forecasting other time series
I have fitted a ARIMA(1,1,2) to time series TS1 as below:
arima112<-arima(TS1, c(1,1,2))
now I want to use the coefficients of ar and ma that I got from ...
2
votes
1answer
115 views
One step ahead forecast with new data collected sequentially
Hi all I'm trying to do one step ahead forecast. Lets say I have 1000 data and fit an ARIMA model with it and then I do a forecast for one period ahead. When I get more data I would like to forecast ...
1
vote
2answers
106 views
What model can I use to describe the following time-series?
I'm wondering if someone might be able to help me locate an appropriate model for the following two time-series (the cyan and blue one, the reds are rolling means).
I'm looking more for a general ...
1
vote
1answer
91 views
Simulate arima by hand
I was working on arima in r and I am trying not to use library 'forecast' as much as possible. I have a code for finding the best arima model, but it is showing some warning messages, please help.
...
0
votes
1answer
48 views
Backfilling ARIMA data with exogenous variable
I have time series data for a set of cities that goes back for about 10 years. I also have the data at the state level for almost 30 years. There was an event that occurred about 20 years ago, that is ...
0
votes
1answer
56 views
How to compute df for ARIMA models?
Running this example from Hyndman's textbook in Chapter 9.1:
...
1
vote
1answer
193 views
ARIMA double seasonality with dummy in R error xreg
I'm playing with hourly univariate data and try to fit an arima model with more than one seasonality (daily, weekly) using a dummy for the weekly seasonality. I found a very good post explaining a ...
3
votes
2answers
223 views
Two seasonal periods in ARIMA using R
I'm currently using R to predict a time series with these instructions:
...
1
vote
1answer
497 views
auto.arima from Forecast package
I am trying to fit a time series using the function auto.arima and I face some strange results.
As a first try, I use the command
...
1
vote
1answer
117 views
Preliminary estimates of ARIMA in R?
We know that dealing with model involving MA factors is not easy to estimate, since there are past values of errors to be computed recursively. And this recursive estimation requires preliminary ...
0
votes
1answer
121 views
arima regression Improving the model
Given the following model which relates the full year home sales to the unemployment rate (observed or estimated) I get a projected increase of 14% for 2013 over 2012... last year the same approach ...
0
votes
1answer
194 views
Multivariate ARIMA with regression
Hi all I have a dataset covering daily data for 3 years (3x365 rows) for multiple attributes TotalPhoneCall (main attribute that I want to predict), Christmas day, weekend, weekday, Easter, 4th_july ...
1
vote
1answer
114 views
ACF of IMA(1,1) in R
I generate the IMA(1,1) process in R to see ACF for different values of Theta. The graphs show that ACF is always positive for both positive and negative values of Theta, is it correct or I'm wrong ...
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 ...
0
votes
2answers
365 views
What are the values p, d, q, in ARIMA?
In arima function in R, what order(1,0,12) means? what are the values can be assigned to p, ...
1
vote
1answer
652 views
ARCH, GARCH Forecasting in R
I tried to fit auto.arima() with a ts data. But it is not giving the right forecast. For many it is coming as ...
0
votes
1answer
143 views
Timeseries regression
I'm following an undergraduate course on timeseries using OxMetrics and wanted to reproduce som results in R
Estimating an ARMA(3,3) model:
...
2
votes
0answers
280 views
Autocorrelation of daily time-series using acf and pacf plots
I have a time series dataset with daily entries over the past 20 years.
I would like to see whether the series is autocorrelated.
To do so I have done the following>
...
0
votes
0answers
73 views
where's the function “arimax” in TSA? [closed]
In the latest version of TSA package (0.99), there's no function arimax(),
can anyone tell me why? Is there anything wrong with the function or is there another way ...
0
votes
0answers
210 views
Time series analysis with R [closed]
Previously, I did a basic course on econometrics which was mostly theoretical in nature and covered all the basic techniques up to cointegration.
I have this project in which I have a financial time ...
3
votes
1answer
285 views
Time series modeling with dynamic regressors in SAS vs. in R
I am using both R and SAS for the time series modeling. There is an option in SAS that I could not find so far in any packages developed in R for the time series modeling such as TSA or forecast ...
0
votes
1answer
137 views
Use regressors in an STL forecast
I'm using a STL decomposition to make forecasts in R (using the forecast package), but I'm not sure how to incorporate my regressors into the model.
I'm using the ...
2
votes
1answer
90 views
Updating ARIMA models at frequent intervals
I am using an ARIMA model to create a model for correlated errors from my regression model. I am using the auto.arima function from the forecast package in R. I am ...
2
votes
1answer
342 views
Arima model giving high forecast values
I have some models built with the auto.arima function from the forecast package. I'm modeling a variable called 'natural efluent ...
2
votes
1answer
346 views
Use ARIMA equation outside R
I'm using R together with the forecast package to set up a ARIMA model, that will be used to predict a energy related variable. I used ...
0
votes
0answers
96 views
Use ARIMA model equation outside R [closed]
I'm using R together with the great forecast package to set up a ARIMA model, that will be used to predict a energy related variable. I used auto.arima() to fit different models (according to ...
4
votes
4answers
1k views
Difference time series before Arima or within Arima
Is it better to difference a series (assuming it needs it) before using an Arima OR better to use the d parameter within Arima?
I was surprised how different the fitted values are depending on which ...
5
votes
3answers
574 views
How to fit a model for a time series that contains outliers
I have fitted ARIMA(5,1,2) model using auto.arima() function in R and by looking order we can say this is not a best model to forecast. If outliers exist in the ...
2
votes
2answers
378 views
ARIMA and linear regression
I have a linear regression model that is used to forecast the 'afluent natural energy' (ANE) of some region.
The predictors for this model are:
the previous month ANE (...
4
votes
2answers
215 views
How to check whether maximum likelihood estimation optimizer has converged in R?
I got AIC values of all models to identify the best model using R language. As I heard, best model produce the smallest AIC value, but maximum likelihood estimation procedure optimizer should ...
2
votes
1answer
672 views
Regression with ARIMA(0,0,0) errors different from linear regression
A Regression with ARIMA errors is given by the following formula (saw on Hyndman et al, 1998):
$Y_t = b_0 + b_1 X_{1,t} + \dots + b_k X_{k,t} + N_t$
where $N_t$ is modeled as an ARIMA process.
If ...
1
vote
1answer
204 views
How to specify pulses/level-shifts in data when creating ARIMA in R?
I am new to ARIMA modelling. I understand most of the basic concepts, and I've read a lot of topics about ARIMA on this site.
At present I am pretty comfortable with analysing ACF and PACF graphs, ...
4
votes
3answers
594 views
auto.arima warns NaNs produced on std error
My data is a time series of employed population, L, and the time span, year.
...
0
votes
1answer
581 views
Fitting ARIMA with a drift on R
I had some problems fitting an ARIMA - the data are
FTSE <-log(EuStockMarkets[,"FTSE"])
The following link explains the problem and gives the solution
...
3
votes
1answer
176 views
Subset models in auto.arima function in forecast package
I wanted to ask whether it was possible to use the auto.arima function to identify subset ARIMA models rather than those of pure lags? I have identified a model in Stata in subset lags that performs ...
