Tagged Questions
2
votes
0answers
17 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
34 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. ...
4
votes
1answer
102 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 ...
1
vote
0answers
21 views
Interpretation of error term in Moving Average (ARIMA)
I have an elementary question regarding the error term in MA (ARIMA)--
From where does this error term come from?
From what I understood from the question raised earlier in the following link: ...
1
vote
1answer
76 views
Why are MA(q) time series models called “moving averages”?
When I read "moving average" in relation to a time series, I think something like $\frac{(x_{t-1} + x_{t-2} + x_{t-3})}3$, or perhaps a weighted average like $0.5x_{t-1} + 0.3x_{t-2} + 0.2x_{t-3}$. ...
4
votes
1answer
38 views
What do you consider a new model versus an updated model (time series)?
I am having some issues explaining to [non-statistician] people that it is natural to revise the parameters of a time series (ARIMA) model if you update the model with new data (add new actual values ...
0
votes
0answers
37 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
33 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
55 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
93 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 ...
7
votes
2answers
100 views
What are some good resources for the history of time series analysis?
I have checked out the answer to this question on stats.stackexchange: What are good resources providing a history of statistics? Indeed, the Stigler book "Statistics on the Table" looks excellent ...
1
vote
1answer
51 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
101 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
0answers
68 views
Practical time series advice
Looking for some general time series advice!
I have collected performance data at fixed time intervals from a 'shared system' with the aim of investigating the affect of the sharing on the ...
1
vote
0answers
66 views
How to model a Time Series which has different nonstationary segments by ARIMA?
I had a monthly river temperature (408 values, separated 360 for modeling). Then I deseasonalized and transformed it to a normal time series by a plotting position technique. Now I need to fit an ARMA ...
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
votes
1answer
46 views
Data set for forecasting [closed]
I am looking for a data set which can be used for ARIMA or any forecasting models. The data should be such that, over a period of time the range of inputs change i.e. the band of input data changes ...
0
votes
1answer
80 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
46 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 ...
4
votes
1answer
87 views
How to test for a break in a time series cycle
I've been scratching my head over this issue and would appreciate some help. I have a time series from 1920-2011 which I've used a Baxter Kings filter on to detrend. I would like to test whether the ...
1
vote
0answers
120 views
How do I conduct an analysis of an interrupted time series design with a comparison group?
I am not sure if this is the right place to ask this question (if not, please refer me to the right place), but it would be nice if someone could help me:
Description of the Data/the Scenario:
I ...
0
votes
0answers
17 views
cannibalization of product sales [duplicate]
Possible Duplicate:
Cannibalization of product sales
I am trying to determine the rate of cannibalization of product sales
for A with product B. I am using ~ 2 years of daily sales data
for ...
2
votes
0answers
113 views
ARIMA-GARCH model for exchange rates
I am currently working on a model for exchange rates, and I want to use an ARIMA-GARCH specification. More precisely, I work on the log-returns series.
First of all, I perform multiple KPSS and ADF ...
0
votes
1answer
50 views
generate IMA(1,1) series
I'd like to generate a series that follows an IMA(1,1) process, where $θ$ is the moving average parameter. I generated the series based on different representations and I got different results, I'm ...
3
votes
2answers
158 views
Ensemble time series model
I need to automate time-series forecasting, and I don't know in advance the features of those series (seasonality, trend, noise, etc).
My aim is not to get the best possible model for each series, ...
3
votes
2answers
209 views
Two seasonal periods in ARIMA using R
I'm currently using R to predict a time series with these instructions:
...
1
vote
1answer
112 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
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 ...
3
votes
1answer
203 views
Forecasting nonstationary time series
I would like to forecast the non-stationary time series, involving several crucial a-priori assumptions following from studying of instances of such series.
I've constructed time-averaged one-point ...
6
votes
2answers
359 views
Real-life examples of moving average processes
Can you give some real-life examples of time series for which a moving average process of order $q$, i.e.
$$
y_t = \sum_{i=1}^q \theta_i \varepsilon_{t-i} + \varepsilon_t, \text{ where } \varepsilon_t ...
0
votes
2answers
342 views
What are the values p, d, q, in ARIMA?
In arima function in R, what order(1,0,12) means? what are the values can be assigned to p, ...
0
votes
0answers
70 views
ARIMA Models Calculating the Error Terms
I have a question about ARIMA models. Lets say I have a time series $Y_t$ that I would like to forecast and I decide to go with an ARIMA(2,2), as it is a very popular forcasting model.
$$
\Delta Y_t ...
0
votes
1answer
614 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
0answers
92 views
Generate correlated AR process for given correlation between demand series
How can I generate two correlated $AR(1)$ data series with given correlation between $d_{1,t}$ and $d_{2,t}$, $r_{12}$, where $\rho_{12}$ is correlation between the two error series
...
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:
...
1
vote
0answers
54 views
Comparing Unemployment Time Series
I am looking to see if recessions affect the unemployment rate in capital cities differently than the state as a whole. I have the data for the unemployment rate each month from January 2007 to July ...
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 ...
4
votes
1answer
628 views
How to setup xreg argument in auto.arima() in R?
I am working on a small project with one time series which measures the customer visit data (daily). My covariates are a continuous variable Day to measure how many ...
2
votes
1answer
151 views
Tips for rejected Ljung-Box stats? Can Minitab model ARIMAX?
Two questions:
What are some basic tips on going back to the drawing-board after a seasonal ARIMA fit shows significant coefficients (1,0,0)x(0,1,0) but fails in its Ljung-Box stats?
Can minitab ...
2
votes
2answers
172 views
What is better for time series prediction: AR or ARIMA?
I am trying to make a prediction in a time series with window 512 and horizon 2. I want to know if it's worth using ARIMA, that seems to be hard to understand, instead of the simple Autoregressive ...
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 ...
0
votes
1answer
490 views
Conditional Maximum Likelihood Estimation for ARMA(p,q)
I'm making a study on STARIMA (Space-Time Autoregressive Integrated Moving Average) Time Series. And one problem I have is the parameter estimation since there is no software yet that has a STARIMA ...
3
votes
1answer
335 views
Initialize ARIMA simulations with different time-series
I have a fairly long time-series of annual abundances ($N_t$) of a wildlife species (73 years of abundances). To forecast the population’s trajectory, I have used ARIMA modeling. Examination of the ...
3
votes
1answer
280 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 ...
4
votes
3answers
441 views
What model can be used when the constant variance assumption is violated?
Since we can not fit ARIMA model when the constant variance assumption is violated, what model can be used to fit univariate time series?
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
337 views
Forecasting with arimax model including xtransf
I am trying to forecast with an arimax model including the xtransf argument. I used the example given in chapter 11 of the book Time Series Analysis With ...
2
votes
1answer
340 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 ...
1
vote
2answers
236 views
Forecasting Interventions (pulse) with ARIMA Model
Q1: Is there any Arima (p,d,q) model that can forecast interventions (pulse) itself? I know that I can use xreg or even xtransf ...
