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Results tagged with arima
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user 179103
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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Solve For ACF/ACVF of An AR(3) Process
I am currently doing an online course on Time Series and this is a self-assessment question from the homework, I won't see the answer until I submit, so I would appreciate hints/leads.
I have made m …
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Accepted
Testing intervention for a random walk using ARIMAX model
For reference, stats::arima is the underlying function called from TSA::arima to fit the ARMA error.
P.S. … '
because TSA::arima force-feeds stats::arima with some fixed values when we have a random walk process, stats::arima doesn't like it as we illustrated above. …
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transfer function-noise modelling in R
However if I understand correctly, the arima/arimax function from R package TSA does not provide an argument to account for the ARIMA noise term. e.g. they provide xtransf and transfer to help formulate … the transfer function itself, but nothing for modeling the noise term which is normally taken to follow ARIMA. …
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acf and pacf suggests MA but auto.arima gave AR
, 1.2400 , 0.9300 , 1.1400, -0.6100, -0.4300 ,-0.4700 ,-0.3450), frequency = 7, start = c(23, 1), end = c(31, 4))
and I know this residual series has some seriel correlations and can be modeled by ARIMA … # s.e. 0.1301 0.1306
# sigma^2 estimated as 0.104: log likelihood=-17.65
# AIC=41.29 AICc=41.72 BIC=47.58
m2 <- auto.arima(err, allowmean=T)
# output
# ARIMA(0,2,2)
# Coefficients:
# …
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