1
vote
0answers
12 views

Statistical test: Does actual time series data deviate from forecast?

I have made a prediction of future sales based on an ARIMA model. The ARIMA model is based on past data, during which there has been no marketing activity. During the period predicted by ARIMA, I will ...
2
votes
0answers
24 views

“Frequency” value for seconds/minutes intervals data in R

I'm using R(3.1.1), and ARIMA models for forecasting. I would like to know what should be the "frequency" parameter, which is assigned in the ts() function, if im ...
1
vote
1answer
62 views

ARIMAX with a specified nonlinear model using the arima function in R

I am interested in fitting an ARIMAX model using R. As known, ARIMAX can be understood as a composition of ARIMA models and regression models with exogenous (independent) variables. I have a time ...
1
vote
2answers
46 views

Time series with autoregressive error

How can I in R fit a time series, $x_t$, with external regressors, $v_t$, and an autoregressive error? This time series model is given as follows, $x_t = \beta v_t + \epsilon_t$ where $\epsilon_t = ...
0
votes
1answer
30 views

Multivariate Time Series Forecasting in R - data in 10 minute intervals

I have data where an observation was made in 10 minute intervals for 8 weeks. I have around 170 variables that were measured every 10 minutes. I am trying to use multivariate time series analysis to ...
0
votes
0answers
34 views

what is 1-step ahead prediction for this AR(2) model?

AR(2) model : rt= 1.2rt-1 - 0.35 rt-2 +at, Var(at)=16 Suppose that r300 = 7, r299=5, and r298=6 What is the 1-step ahead prediction of r301 at the forecast origin T=300? Compute the variance of ...
1
vote
1answer
57 views

how to use arima to do mean model

I am learning arima by this site: http://people.duke.edu/~rnau/411home.htm and I want to get the same result as following notes: ...
1
vote
2answers
124 views

very high frequency time series analysis (seconds) and Forecasting (Python/R)

I have high frequency data (observations separated by seconds), which I'd like to analyse and eventually forecast short-term periods (1/5/10/15/60 min ahead) using ARIMA models. My whole data set is ...
2
votes
1answer
25 views

My transfer function has non-stationary inputs, but a stationary output. Should I difference both the inputs and outputs during structure estimation?

I have a system of two inputs and one output that I'd like to model using the following Box-Jenkins transfer function ("dynamic regression") structure: $$y_t=\frac ...
0
votes
0answers
90 views

Obtaining the SarimaX equation from the arima coefficients

I have a SarimaX model with three regressor variables: ...
1
vote
0answers
68 views

Stock closing price forecasting using ARIMA model in R

I have downloaded the daily stock Adjusted Close price of one stock from sep 2011 to till date. As per my study plan, I have plotted some basic plots to understand the daily stock Adjusted closing ...
0
votes
2answers
45 views

Problem in ARIMA Model in R

I am running ARIMA model in R and I used auto.arima(X) function to decide appropriate model.After using this function I found that the order of my model is ARIMA(2,1,0). The problem is I run the same ...
3
votes
1answer
53 views

Difference between the forecast and simulate functions in the {forecast} package in R

I have been using the forecast package in R to make forecasts based on an ARIMA model and have noticed a difference in the output of the forecast and simulate functions when calculating confidence ...
2
votes
1answer
113 views

Forecasting a seasonal time series in R

Forecasting airline passengers seasonal time series using auto arima Hi, I am trying to model some airline data in an attempt to provide an accurate monthly forecast for June-December this year using ...
0
votes
0answers
34 views

Creating auto arima for two following time series with two different non linear slopes

I'm trying to model (and predict) the following time series, which consist of two periods (enrollment period and non enrollment) as the following: I believe that this model should consist of two ...
0
votes
0answers
39 views

Fitting ARIMAX with lagged X variable (Matlab)

This question is divided into two parts. I currently have a Y vector with 364 data points (Y) and an exogenous variable (X) with 364 data point. X is a good predictor for Y that I want to pair up ...
1
vote
0answers
35 views

ARIMAX model or ARDL?

I would like to study the impact the advertising of a product on its sales (weekly data for 5 years). As the final aim is to forecast what would be the impact on sales of a change in the advertising ...
1
vote
0answers
33 views

Arima model for non-negative data

I have been reading a tutorial for an introduction to time series. It contains a dataset, with an $Arima(2,0,0)$ forecast along with a 80% and 95% prediction interval. It looks like this: This ...
0
votes
0answers
20 views

How to get observations from residuals in an ARIMA model?

If we have residuals of an ARIMA(p,d,q) with known parameters, how can we retrieve the original observations of the time series?
0
votes
0answers
37 views

Reproducing ARIMA error terms

When forecasting a moving average (MA) model using R's forecast, why does using residuals(fit) produce different results than ...
2
votes
0answers
35 views

Interpretation of the partial autocorrelation function for a pure MA process

I have been working with some time-series theory and I noticed something that I can understand "mathematically", but not based on the intuitive explanations of what the partial auto-correlation ...
2
votes
1answer
34 views

Seasonal vs non-seasonal coefficients in R ARIMA

Let's say I have the two following ARIMA models: ARIMA(7,1,1) (no seasonality) ARIMA(6,1,1)(1,0,0)7 (seasonality of period 7). Are they conceptually the same? If so, why is that when I model ...
0
votes
1answer
50 views

Why we check the residuals of ARIMA model for white Gaussian?

I have problem about the assumptions and model verification of ARIMA models. I know that Gaussian distributed assumption is not necessary for fitting ARIMA models but I wonder why a lot of people ...
0
votes
0answers
27 views

Autoregressive model with input variables in proc arima procedure

I am currently working on the time series analysis for series Y but I have to use other two variable A and B as an input variable in SAS proc arima procedure. But I am unable to interpret the cross ...
0
votes
0answers
33 views

time-series analysis Vs statistical signal processing

Is there a way to identify when to use time series analysis or signal processing. Time series data analysis can be divided to signal processing and normal time series analysis. In signal processing ...
4
votes
1answer
67 views

Sample Mean of AR(1) model

Consider the AR(1) model with iid innovations with finite mean and variance. Also, let $X_0 = 0$. \begin{align} X_t = \phi X_{t-1} + \epsilon_t \end{align} The goal is to derive the asymptotic ...
1
vote
2answers
87 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. ...
4
votes
0answers
48 views

Determining parameters in AR model for non-stationary time series

I am currently trying to fit an AR model to some financial data. The time series $Y_t$ in levels is clearly non-stationary; however it appears the first differences $dY_t$ are stationary (and this is ...
0
votes
1answer
87 views

ARIMA, adjustments and intervention analysis

I have very little knowledge of time-series analysis (despite my stat master - didn't do anything else than an introductory course) but now I'm facing a statistical problem whose answer is this very ...
0
votes
0answers
41 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
33 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
2answers
61 views

Using AIC to determine best ARIMA Model

I'm trying to fit an ARIMA model to housing data set. Playing around with the p's and q I was able to get an ARIMA Model (2,1,2,)(2,0,0) with an AIC value of AIC=4946.76 I used auto.arima to see if I ...
3
votes
1answer
133 views

Intervention Analysis - Pulse over several periods

I have a couple weekly time series and an intervention occurred over several weeks and then for some, after a period of no intervention, began again. So, the pattern is off for a period of weeks, then ...
1
vote
1answer
99 views

Getting Residuals to be White Noise

I'm on a time series project for an undergraduate course. For the project I'm trying to come up with an ARIMA model for the housing starts data set. ...
1
vote
0answers
45 views

is it possible a nonstationary time series, to produce a stationary ARMA model?

I Have a variable (time series) which is nonstationary. I found that from the graph which seems to have a stochastic trend and the correlogram has a typical nonstationary pattern. After that, I've ...
1
vote
1answer
140 views

Filtering using a SARIMA model in R

I am not an expert in statistics, but I would like to work on a SARIMAX model representing power consumption. The exogeneous variable would be the temperature, but for now I found here I might need to ...
3
votes
0answers
76 views

ACF and PACF plot analysis

I am new to ARIMA, and I am trying to understand these lag plots. Are the following ACF and PACF suggesting that the lag of my time series is 4? If I am wrong, please help me understand these plots. ...
0
votes
0answers
68 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 ...
1
vote
1answer
26 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 ...
2
votes
4answers
243 views

Can a trend stationary series be modeled with ARIMA?

I have a question / confusion about stationary series required for modeling with ARIMA(X). I am thinking of this more in terms of inference (effect of an intervention), but would like to know if ...
1
vote
1answer
71 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 ...
0
votes
1answer
110 views

How to dampen forecast to improve accuracy?

According to Armstrong there is ample empirical evidence that dampening trends in uncertain and complex long term forecasting helps improve accuracy/reduce forecasting errors. What I'm not able to ...
1
vote
0answers
23 views

Predicting the missing data out of three values in each of the two vectors [duplicate]

I have 2 vectors of rural and urban populations of the same country. (years from 1975 to 2020) with only three values (1980, 1990 and 2001 years) in each. And I need to predict the missing data. My ...
2
votes
1answer
57 views

Show Regression with Arima Errors Equivalent Form of Differenced Variables

How can you show that the regression $y_{t}=\beta_0 + \beta_1x_{t}+\eta_t$ where $\eta_t$ is arima(1,1,1) is equivalent to $y'_t = \beta_1x'_{t}+\eta'_t$ where $\eta'_t=\phi_1\eta'_{t-1}+e_t$ and $'$ ...
10
votes
2answers
206 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 ...
0
votes
1answer
58 views

Is the Moving Average of ARMA the same of Moving Average of Stock Market?

I'm studying time series prediction and I have some questions. Is the Moving Averages movel studied the methods of the ARMA family has the same concept as the methods studied in Moving Averages ...
7
votes
1answer
523 views

Detecting Outliers in Time Series (LS/AO/TC) using tsoutliers package in R. How to represent outliers in equation format?

Comments: Firstly I would like to say a big thank you to the author of the new tsoutliers package which implements Chen and Liu's time series outlier detection which was published in the Journal of ...
6
votes
3answers
372 views

stochastic vs deterministic trend/seasonality in time series forecasting

I have moderate background in time series forecasting. I have looked at several forecasting books, and I don't see the following questions addressed in any of them. I have two questions: How would ...
2
votes
0answers
27 views

Is ARIMA(1,0,0)+xreg for level shift the same as linear regression model with level shift adjustment and lag1 term?

I have a time series with a level shift. Thus, when treating it with an ARIMA model, I use arima(1,0,0)+xreg. The xreg is a ...
4
votes
1answer
85 views

How to test the ARIMA coefficients?

Which test is required to test whether coefficients estimated as part of ARIMA procedure is different from 0? And how does one compute this test? I am reading some procedures regarding the inversion ...