1
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0answers
15 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
13 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
22 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
21 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 ...
0
votes
0answers
16 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
40 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
11 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
18 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
60 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
41 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
36 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
63 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
19 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
29 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
48 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
92 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
68 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
39 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
71 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 ...
2
votes
0answers
34 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
45 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
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 ...
2
votes
4answers
177 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
61 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
86 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
54 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
175 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
50 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 ...
4
votes
1answer
247 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
240 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
24 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
75 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 ...
1
vote
1answer
38 views

How do I state an ARIMA(0,1,4)x(0,1,1)12 in terms of Yt etc and not in terms of the backshift operator

I would like to state an ARIMA(0,1,4)x(0,1,1) model (written in format (p,d,q)x(P,D,Q) model without using the backshift operator. Thanks in advance
4
votes
2answers
115 views

Why do the 95% confidence limits in ARIMA models widen at the forecasts?

Can someone please explain why when I do an ARIMA model the forecast's 95% confidence interval widen?
0
votes
1answer
121 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 ...
2
votes
0answers
140 views

Time Series: Seasonality and trend

I am interested in financial time series and I have a small question regarding the use of the forecast package. The time series I am interested in is a monthly one and present clear evidences of ...
0
votes
0answers
33 views

Help identifying time series model

I am trying to fit an arima model to data below. The best model seems to be ARMA(2,2) with the first AR and MA components zero to me. However, it does not quite satisfy me. I am looking for any ideas ...
0
votes
2answers
74 views

ARIMA model selection

I am trying to find a model for the data below. I cannot decide whether the data is stationary or not. I do not want to take differences unnecessarily . I put results of the models below. I think ...
1
vote
1answer
34 views

How does including lags imply losing observations

My time series professor passed a comment today, that running this model implies losing k+1 observations. I think I have understood how the observations are wasted, but I am notorious for falsely ...
0
votes
0answers
23 views

Tsdiag results analysis help

What do you think about result from my arima model? Should I need to change the model. I do not want to change it because it is the best I have but p values do not seem fine
0
votes
0answers
26 views

ARIMA(0,2,2) model fitting

My data is below.After taking differences 2 times,it looks stationary. Only lag 2 is significant in both pacf and acf plot.EACF says it is ARIMA(0,2,2) and I think it can be. However,if it is, aren't ...
1
vote
1answer
70 views

Is ARMA(0,0) equivalent to white noise?

If the EACF of my TS suggests ARMA(0,0) and the Box-Ljung test does not suggest my TS has correlation, can I conclude that my TS is white noise or merely that there is no reason to suspect that it is ...
0
votes
1answer
47 views

Looking for help with ITSM software (or other comparable software)

I'm looking for someone who is familiar with the ITSM software. I have some data that needs to be fit with an ARIMA/SARIMA model and then forecast using Holt-Winters/Seasonal method. I then need to ...
0
votes
1answer
74 views

Equivalent of auto_arima function of R in Stata

I am building a dynamic regression model in Stata which basically has this form: $$Y = a_1x_1 + a_2x_2 +... + e$$ where the error $e$ is then modeled as ARIMA process. Is there a command to find ...
2
votes
0answers
114 views

Prewhitening time series: ARIMA-modelling versus polynomial trendelimination

I'm concerned with Box-Jenkins-models and especially the first step, the prewhitening to obtain meaningful crosscorrelations for identifying transfer functions and building regression models. I'm ...
1
vote
0answers
116 views

Forecasting Hourly Time Series based on previous weeks and same period in previous year/s

The Problem I have been tasked with a similar problem to that described in Forecasting hourly time series with daily, weekly & annual periodicity. My data shows the number of times that one of ...
1
vote
0answers
66 views

Trying to use Holt-Winters and SARIMA to fit this data

I want to find a time series model for monthly precipitation data. I checked SARIMA and Holt-winters seasonal multiplicative models. I can't find an appropriate model. These models underestimate ...
0
votes
1answer
63 views

AR(1) Covariance [duplicate]

So I'm trying to derive the covariance between $z_t$ and $z_{t-1}$ in the $AR(1)$ model: $z_t =\phi z_{t-1} + a_t$. Can anyone give me some advice on where to start?
0
votes
2answers
94 views

Is there any tool that can do Vector ARIMA modeling in time series

Vector ARIMA model is used in multiple time series analysis. I am just wondering if there is any software or tool can be used to build the model. Some tools,like R, can only be used to predict the ...