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Refers to the AutoRegressive Integrated Moving Average model used in time series modeling both for data description and for forecasting. This model generalizes the ARMA model by including a term for differencing, which is useful for removing trends and handling some types of non-stationarity.

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Model identification from Eviews Dickey-Fuller test output

So our econometrics professor gave us the following Eviews outputs. First, it asked if it was the right decision to differentiate twice, which, according to what I interpret from the Eviews display, ...
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ARIMA model: duplicated dates, how to proceed? [on hold]

I have a dataset of the shape: DATE ID_ENTITY VALUE_DATE VALUE_DATE+1 2006-02-01 ETY45 0.06 0.075 2006-02-01 SLR67 0.063 0.07 (it ...
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Maximum likelihood: Why is the number of non-zero eigenvalues equal to $x^T \hat{\Sigma}^{-1} x$

I've been reading this code (based on this R package) and I found that the number of non-zero eigenvalues of the estimated covariance is roughly equal to $x_i^T \hat{\Sigma}^{-1} x_i$. I want to know ...
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7 views

Predict return value and evaluate with information ratio

I want to predict values on return-T2 having this data available: 'DATE', 'RETURN-T1', 'RETURN-T2', 'OTHER_VARIABLE', 'OTHER_VARIABLE',... I thought of doing feature selection and training a model ...
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1answer
180 views

Auto-Arima creates a straight line help

I'm trying to create a forecast using autoarima with some data, but i always get a straight-line, can someone please help me? :) This is what i've got so far ...
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14 views

Can the Forecast package include GARCH model too? [on hold]

The Forecast package in R has an auto.arima() function that finds the best ARIMA model. Reading the doc, it seems the package doesn't have a way to include a GARCH model along with ARIMA. Or others ...
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10 views

Checking Residual for Serial Dependence in R

I have residuals that I got from an ARMA-GARCH model via rugarch package: ...
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11 views

Why GARCH(1,2) can be written as an ARMA(1,2)?

The GARCH(1,2) process to predict volatility can be written as an ARMA(1,2) how come does this happens?
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How to deal if different univariate time series which has different AR and MA orders. Can multivariate model like DCC model be a fit in such scenario?

I am planning to run DCC model on some time series. The problem is that all time series have different AR and MA orders. Many articles have taken AR and MA (1,1) order without discussing the rationale ...
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425 views

Stepwise AIC - Does there exist controversy surrounding this topic?

I've read countless posts on this site that are incredibly against the use of stepwise selection of variables using any sort of criterion whether it be p-values based, AIC, BIC, etc. I understand why ...
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30 views

Time Series Prediction Model for Home Prices

I am building a time series model to predict the zillow home prices for march 2019.I have data for each zip code from the year 1993 - 2018 and i have prices for every month.I was trying to use ARIIMA ...
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42 views

Combining Intermittent Demand and ARIMA

I have a time series dataset, where a customer may purchase fuel one week and not purchase again for 2-3 weeks. I need to forecast when a customer is likely to purchase and how much they will spend. ...
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9 views

Syntax issue with tso function in tsoutliers package [closed]

I have a data frame (3575 observations long) with two columns, Date and Oxygen Concentration. Date is in YYYY-MM-DD format for 25 years and oxygen values are numbers running anywhere from 0.05 to 7.5. ...
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34 views

Multivariate ARIMA modelling in R

I am currently using the Marima package for R invented by Henrik Spliid in order to forecast multivariate time series with ARIMA. Overview can be found here: https://cran.r-project.org/web/packages/...
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1answer
65 views

ARIMA - What is the proper ARIMA model for these data?

I am doing my project on forecasting and due to I have limited knowledge in ARIMA, I would like to ask what is the appropriate ARIMA model for these two data. Both data are monthly. Figure 1 The ...
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23 views

Stationary vs. Trend-Stationary Time Series: Auto.Arima difference parameter

I have the following time series training_ts that looks like this: It appears to be stationary or "trend-stationary". When I analyze the stationarity using ...
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25 views

What ARIMA to use

I have a data set which generally decreases over 24 period units. It then returns to its relatively highest state at the beginning of the period. So for instance the data may look like this: Period 1 ...
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25 views

Forecasting with ARMAX vs. Regression with ARMA errors

In this post Rob Hyndman says that for forecasting, it doesn't matter whether we fit an ARMAX model or an OLS model with ARMA errors: https://robjhyndman.com/hyndsight/arimax/ Why is that the case? ...
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What is the distribution of $y_t$ in ARMA(2,2)?

So, I'm currently having a graduate time series analysis course and we have this theory question in the exam prep which asks the following: "Given an ARMA(2,2) model with white noise terms following ...
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1answer
19 views

R forecast multiple seasonality optimal model search using fourier and msts objects

Hi I have hourly data (one obs one hour) with multiple seasonality. I would like to fit an ARIMA model using forecast R package taking into account the multiple seasonality, maybe taking also in ...
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18 views

How to manually find ARMA-GARCH residuals in R? [closed]

Let's say the data input is called data, which is in the form of a financial time series that will be fitted into an ARMA-GARCH model. The GARCH(1,1) is used ...
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39 views

How to use Partial Autocorrelation (PACF) to determine the exact seasonal period in SARIMA model

I am currently using PACF values to determine the length of seasonal period which are further used in fitting SARIMA model. I use 90-day history to forecast for 30 days. My current method is to ...
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38 views

Reverse prediction in a time series

We know using models like ARIMA we can do out of sample predictions for a Time Series. i.e. we can know what would be the value v at time t. Can we do the reverse of it, and find at what t will be v a ...
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34 views

Unable to completely extract annual seasonality from daily time series using R's decompose/stl functions

Context first, questions at the bottom. I have 10 years of daily precipitation data that exhibits an annual seasonality, which I am trying to model using ARMA methods and then forecast. Data here, ...
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Noise in ARIMA Model In-Sample Predictions

I am working on fitting some financial data into an ARIMA model to give me a forecast of the next time period. I am using pyramid's auto_arima function to get a ...
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39 views

ARIMA R vs Minitab

A simple question: Is the algorithm for calculating the fits using the Arima function of the forecast package of R different ...
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34 views

Positive lag-1 autocorrelation after differencing a stationary time series

In the following post it is trying to explain why the lag-1 autocorrelation is negative after first differencing a stationary time series. Why does differencing time-series introduce negative ...
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42 views

Python ARIMA generates different predictions than SARIMAX for same orders

I was under the impression that Python Statsmodels SARIMAX with seasonal order parameters set to 0 will generate the same forecasts as ARIMA. But apparently the forecasts are wildly different. What ...
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31 views

How to pick models for long tailed ACF/PACF?

This is a real data ACF/PACF plot: You can see there are long tails in the plot. So any hints to select ARMA(p,q) model, or even ARCH model? Tried a few ARMA(3,3,0) or ARMA(3,1,0), apparently didn't ...
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27 views

How to globally determine (Seasonal) ARIMA Parameters

I have 15-minutely data (96 values per day) over several years for around 340 entities (i.e. 340 data sets or long ts). Now my task is to forecast a 4-hour window (i.e. 16 observations) for each day ...
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27 views

Using ARIMA with exogenous regressors for outlier detection in R

I would like to detect outliers in real-time data that is aggregated per hour. For this example, I've selected the hourly pedestrian data from Melbourne, Australia (Pedestrian volume (updated monthly),...
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23 views

How is `Arima` from `forecast`/`stats` package with external regressors (dynamic regression) evaluated?

I use the Arima function from the forecast package in R. I also took a look at this short introduction to the topic (author of ...
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How do I write a mathematical equation for seasonal ARIMA (0,0,1) x (2,1,2) period 12 [duplicate]

Can someone could help me write the mathematical/backshift equation for the seasonal ARIMA (0,0,1) x (2,1,2) with 12 periods? I'm confused with how to go about this. I would prefer an equation ...
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1answer
23 views

General Form of Arima(2,1,2)

There is a question in my textbook that asks for the ARIMA(2,1,2) model. I get how to do the AR and the MA parts, but I'm having a little trouble understanding the differencing portion of the model. ...
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1answer
22 views

Combination of hierarchial time series forecasts with different methods - setting weights

I am trying to forecast the the number of orders for different products of a product group. I have the time series for each product. One of the problems is that some/most time series are intermittent ...
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Interpreting $\Delta\log(y_t)$ regressed on $\Delta\log(x_t)$ with dummies

I did an ARIMA regression of log(GVA(t))-log(GVA(t-1)) on log(M1(t))-log(M1(t-1)) and time and level variable, where ...
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17 views

Paramaters for SARIMA model

I am trying to fit a SARIMA(1, 0, 1)(0, 0, 1)365 model. Though it is very slow and uses a LOT of computing power. To reduce this I am specifying the start_params ...
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21 views

Forecasting adjustment factor in the gas consumption formula supplied by industry

I am trying to model gas consumption in France. The industry publishes a formula to use for this. A simplified version looks like this consumption = K * f(x), where ...
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29 views

Rolling Window Forecasting with ARIMAX while supplying actual values

I am comparing different exogenous variables in how good they support the forecast of the monthly seasonal adjusted unemployment rate. All my data is monthly (2006-01-01 until 2018-09-01) and ...
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What is Gamma model?

Recently I saw a person's resume online and it is said he used ARMA and Gamma model to analyze time-series pattern of bond market volatility.I know what ARMA model and Gamma distribution is but not ...
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How to find the root mean square error in `auto.arima` in R? [closed]

How do I find the root mean square error (RMSE) by auto.arima? What settings do I need to put into auto.arima to get the RMSE?
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Predict future result when another variable gets a fixed value

I have the weekly cost and revenue data for 50 weeks Date,Cost,Revenue ... ... 1/10/2018,10,8 8/10/2018,13,10 15/10/2018,13,11 I want to predict the Revenue for ...
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Different model result stats::arima and dynlm

I am calculating an autoregressive model with two different libraries (stats and dynlm). Attached you can find the code and the data. I am using in both libraries the same methodology (least squares). ...
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59 views

Analyze time series (with python) to forecast future and to get trend

I'm analyzing a time series that has this format: ...
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1answer
37 views

Questions about ARIMA

I am estimating this model: But I want to do some analysis of the variables before. In particular, I am interested in fitting some ARIMA models. First, I am doing it for the inflation rate in Mexico. ...
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1answer
96 views

Forecasting daily time series sales revenue with many zero entries

I have been trying to forecast the sales revenue of different product groups (the displayed sales revenue is aggregated over all products for each day e.g. smartphones with different prices as one ...
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21 views

Comparing similarity Time Series

I have a collection of time series data. The data is structured (Country, Year, Value). ~50 countries and ~30 data points for each country Is there a way to cluster time series? Time intervals are ...
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22 views

Sketch without proof the ACF and PACF for the following time series

I have the following for which I need to Sketch without proof the ACF and PACF: $ AR(1)$ with $ ϕ=0.5. $ $ AR(1)$ with $ ϕ=-0.5. $ $ MA(1)$ with $ θ=0.5. $ $ MA(1)$ with $ θ=-0.5.$ can somebody ...
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1answer
32 views

How to find the p, q and d parameters for ARIMA given a model equation?

I have the equation $$ Y_t = 1/2 Y_{t-1} + 1/2 Y_{t-2} - 1/3 \varepsilon_{t-1} + \varepsilon_t $$ and I want to find the parameters p, q, and d. Can somebody explain how I can know what the ...
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82 views

Time Series Forecast / Transfer Function

I'm trying to interpret the forecast values from an ARIMAX function, and I'm confused about what's happening in the actual forecasted values as I change the values for the predictor during the ...