# Questions tagged [arima]

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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### Very high MSE Arima

I'm new to regression, i'm trying to build a simple ARIMA model to forecast hourly power load, the model appears to give good forecasting, yet very high error, (MSE = 986323, MAE = 725) here is my ...
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### How would you convert an ARIMA(0,0,1)(0,1,0)12 model to equation form? [duplicate]

How would you convert an ARIMA(0,1,1)(0,1,1)12 model to equation form?
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### What is my 'p' and 'q' terms for below ACF and PACF

I was plotting the acf and pacf of a time series in order to find p and q values.Here is the ...
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### Volatility based Markow Switching GARCH model

I am trying to model returns using ARMA-GARCH process and noticed that returns series behave differently under the periods of high volatility when compared to periods with low volatility. Therefore, I ...
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### How to generate fitted values manually for a seasonal ARIMA model?

I am trying to get the fitted values for a SARIMA model, and I can only access the arima() or auto.arima() functions in 'forecast' package in R for benchmarking my results (which is probably not the ...
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### Why do we fit (G)ARCH model?

The ARCH model is: \left\{ \begin{align*}& X_t=\sigma_t Z_t, \ \{Z_t\} \sim IIDN(0,1) \\ & \sigma_t ^2 =\alpha _0 +\alpha _1X_{t-1}^2+\ldots+\alpha _p X_{t-p}^2 \end{align*} \right. ...
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### Forecasting in time series (ARMA, GARCH etc.)

I've read here https://otexts.com/fpp2/arima-forecasting.html how we do forecasting in time series models like the ARMA model, but I'm wondering if we recalculate estimates of parameters of our model ...
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### Accuracy of sliding window in ARIMA models

I have 245 daily stock returns with some explanatory variables. I will compare the ARIMA and ARIMAX models with some basic machine learning techniques. The training periods will be 30, 60, 90, 120 and ...
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### Python: pmdarima, autoarima does not work with large data

I have a Dataframe with around 80.000 observations taken every 15 min. The seasonal parameter m is assumed with 96, because every 24h the pattern repeats. When I insert these informations in my ...
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### Best practices for regression when using seasonal data? [closed]

I have a variable $y$ that I would like to model using a set of independent variables $X$. Both $y$ and $X$ are monthly measurements (~10 years in total) and appear to be subject to seasonal ...
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### Inference in Time Series: Prophet vs. ARIMA

I read through Prophet's white paper and they mention that their algorithm, "gives up some important inferential advantages of a generative model such as an ARIMA." (page 7) So now I'm ...
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### Which ARMA(p,q) to choose from tables of Squared Canonical Correlation Estimates and SCAN Chi-Square Probability Values?

I have the following output (from SAS) Squared Canonical Correlation Estimates \begin{array}{|r|r|r|r|r|r|r|r|r|} \hline \text { Lags } & \text { MA 0 } & \text { MA 1 } & \text { MA 2 } ...
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### ARIMA interpreting results and how to out-of-sample forecast

I am trying to learn ARIMA using Python and the data in https://www.kaggle.com/c/demand-forecasting-kernels-only. I'm using the sales for Store == 1. Here is how the data looks like: Here is my ARIMA ...
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### What is the meaning of crossed Lag_plot?

Good Morning. I have a theoric-practical question. Let say I’ve got a seasonal serie without trend. I’ve tried to remove any covariances and fit an arima model. I’ve just tried several options and ...
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### How do you determine that your timeseries forecasting model is good enough?

Pardon me, I am new to timeseries forecasting. Given that there is not always a clear cut way to know whether your forecasting model is good enough and there's a significant degree of subjectivity in ...
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### How to use auto.arima when attaining different results with a manual model selection?

I have daily sales data for over 2 years. I am having several questions of how to manually define model order and how to do it using auto_arima. Manual The first step I do it to see if my data is ...