I have been facing a wall after doing a forecast of wind speed time series data using ARIMA with python.

I have result with a nrmse growth going from 2% to 15% and now what I want is to use kalman filter to reduce my forecast errors and have better result.

1/Actually I don't know even after lot of readings what is doing what. My main goal is to improve my forecast results (that I obtained using ARIMA). Can you enlighten me on Kalman Filter for forecasting univariate time series?

2/ I also want to know how I can know if a time series is non linear or not ? The definition on various papers does not allow me to write a code based on them. Thanks for your considerations?


closed as too broad by Juho Kokkala, gung, mdewey, Nick Cox, Silverfish Jun 29 '17 at 22:09

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