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I want to try and predict previous values for random data that has properties of ARIMA process.

Problem is that I dont understand ARIMA model mathematically, so I dont know if that's even possible or allowed.

For example can I simply invert time axis and use ARIMA predictor? I would guess no.
Or can I use negative shift operator somehow?

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  • $\begingroup$ If the process with inverted time scale still looks like ARIMA, I do not see a reason not to use ARIMA. $\endgroup$ – Richard Hardy Aug 18 '15 at 16:50

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