1
$\begingroup$

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?

$\endgroup$

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

Please edit the question to limit it to a specific problem with enough detail to identify an adequate answer. Avoid asking multiple distinct questions at once. See the How to Ask page for help clarifying this question. If this question can be reworded to fit the rules in the help center, please edit the question.