All Questions
Tagged with fourier-transform arima
18 questions
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Why is Prophet faster than dynamic harmonic regression?
Section 12.2 of Forecasting: Principles and Practice (3rd edition) discusses Facebook's Prophet model. The authors write:
Prophet has the advantage of being much faster to estimate than the [dynamic ...
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33
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Forecasting Square Waves
I am involved in a social experiment with other college students. The experiment involves simulating current price of the market at which a given asset can be bought or sold for immediate delivery. We,...
- 39
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Forecasting time series with multiple seasonaliy by using auto_arima(SARIMAX) and Fourier terms [closed]
I am trying to forecast a time series in Python by using auto_arima and adding Fourier terms as exogenous features. The data come from kaggle's Store item demand forecasting challenge. It consists of ...
- 111
2
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1
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407
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Seasonal ARIMA vs ARIMA with Fourier terms for monthly series
I have monthly data and my goal is to forecast values with an inclusion of exogenous variables. I've built SARIMA and Dynamic Harmonic Regression models, where the second one performs little bit ...
- 511
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Model specification for seasonal ARMA-GARCH model using rugarch
TL;DR: I'm trying to find an adequate model for time series data that exhibits multiplicative seasonality and volatility clustering by identifying an ARMA-GARCH-model with Fourier terms using ...
3
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Why SARIMA has better accuracy on weekly dataset than on daily one?
I am studying time series right now. So, I have this dataset. My aim is temperature prediction.
I've found out that ARIMA can't work with long period seasonality. So, I've resampled daily dataset ...
- 160
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2k
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K in Fourier series - How to find value of K to use it in ARIMA?
I am using the forecast library for doing some time series forecasting. I need to forecast number of sold items. I am planning to add holidays as xreg in auto.arima. The holiday will be a 0/1 list, ...
- 93
2
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1
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854
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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 ...
- 3,712
4
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1
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12k
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Forecasting with ARIMA ( Training and Test Data split)
I have an hourly time series of the average parking occupancy with data available from September 2017 up until June 2018. I would like to use the ARIMA model with external regressors to produce a ...
- 113
2
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120
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Time series/ ARMA Simulation
Given: I have a question, given a continuous real spectral density f(w), -infinity
my idea:
I would folding, discretize and truncate the spectral density to get a real (one-sided) discrete spectral ...
- 21
1
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1
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tbats() model not capturing seasonality (weekly data)
I have below 4 years of weekly data which has complex seasonality of varying seasonal length.
I have assigned the first 160 data points as training and the rest as test with frequency=52. It seems ...
- 95
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74
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The small error probability P for a dataset
P = $p\{\frac{|\epsilon(k)-\bar{\epsilon}|}{S_1} < 0.6745\}$
Say we want to calculate the probability shown in the formula above.
I have the values for all $\epsilon$ parameters and $S_1$. ...
- 11
4
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1
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428
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'Arima + fourier' for periodic data Improvement Suggestions
On the plot black is the data and red are the fitted values obtained from fitted i.e. one step forecast, I am using 365 days for training and then 3000+ days for ...
- 426
10
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2
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14k
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Fourier terms to model seasonality in ARIMA models
I would like to use Fourier terms to model seasonality in an ARIMA model. The reason for using Fourier terms instead of a seasonal ARIMA model is that the frequency of the time series is very high (...
- 143
6
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1
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How to identify the seasonality of a timeseries from the Periodogram?
I need to identify seasonality/ periodicity of a dataset so as to develop an ARMAX model. This is what the original time-series looks like
I have plotted the periodogram of the dataset.
Ps: I used ...
- 422
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1
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2k
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time-series analysis Vs statistical signal processing
Is there a way to identify when to use time series analysis or signal processing.
Time series data analysis can be divided to signal processing and normal time series analysis.
In signal processing ...
7
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1
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4k
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Multiple and long seasonality for a SARIMA model in R [closed]
While working on a big data set made of 10-minutes-points of information - i.e. 144 points per day, 1008 per week and ...
- 113
19
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1
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Problem defining ARIMA order
This is a long post so I hope you can bear with me, and please correct me where I'm wrong.
My goal is to produce a daily forecast based on 3 or 4 weeks of historical data.
The data is 15 minute ...
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