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I'm trying to model this dataset using

1) msts and tbats

traffic_ts <- msts(traffic_df$bits,seasonal.periods = c(24, 24*7))

tbats(traffic_ts)

which seems to work but yields not-so-good forecasts..., and

2) auto.arima, with or without xreg

Without xreg, auto.arima seems to "get lost in calculation", whereas with xreg

traffic_df_wd <- traffic_df %>% mutate(weekend = if_else(wday(hour) %in% c(7,1), 1, 0))
arima_fit <- auto.arima(traffic_df_wd$bits, xreg = traffic_df_wd$weekend, trace = TRUE)

I get

ARIMA(2,0,2) with non-zero mean : Inf *
 ARIMA(0,0,0) with non-zero mean : Inf *
 ARIMA(1,0,0) with non-zero mean : Inf *
 ARIMA(0,0,1) with non-zero mean : Inf *
 ARIMA(0,0,0) with zero mean     : Inf *
 ARIMA(1,0,2) with non-zero mean : Inf *
 ARIMA(3,0,2) with non-zero mean : Inf *
 ARIMA(2,0,1) with non-zero mean : Inf *
 ARIMA(2,0,3) with non-zero mean : Inf *
 ARIMA(1,0,1) with non-zero mean : Inf *
 ARIMA(3,0,3) with non-zero mean : Inf *
 ARIMA(2,0,2) with zero mean     : Inf *
Error in auto.arima(traffic_df_wd$bits, xreg = traffic_df_wd$weekend,  : 
  No suitable ARIMA model found

It seems strange to me that ARIMA should give up so quickly here, so I'm wondering if I'm doing something wrong here. BTW I've also tried passing in the frequency in addition to the regressor:

Error in auto.arima(ts(traffic_df_wd$bits, frequency = 24), xreg = traffic_df_wd$weekend,  : 
No suitable ARIMA model found

and

Error in auto.arima(ts(traffic_df_wd$bits, frequency = 24), xreg = traffic_df_wd$weekend,  : 
No suitable ARIMA model found

Would you have an idea why this is happening and what one could do?

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  • $\begingroup$ I've been seeing this error recently with some of my data as well, not sure what the problem is. You could post the issue on the package's github if no one here can figure it out (give it some time though). $\endgroup$ – AnscombesGimlet May 15 '17 at 18:24
  • $\begingroup$ You can also try using stepwise=FALSE, approximation=FALSE in the auto.arima function. That should make it evaluate more potential models. $\endgroup$ – AnscombesGimlet May 16 '17 at 19:14
  • $\begingroup$ Hi, thanks for your answers. Regarding (1), I originally posted this as an issue on github, but was directed here, so evidently it's not a bug. Regarding (2), I've wanted to do some experiments but I either got different errors or had to kill the process, even reboot the machine... I'll have to find a less resource-consuming way (my own resources I mean ;-)) $\endgroup$ – zkajdan May 18 '17 at 8:00

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