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Results tagged with arima
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user 17913
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.
2
votes
0
answers
781
views
ARIMA-GARCH model for exchange rates
I am currently working on a model for exchange rates, and I want to use an ARIMA-GARCH specification. More precisely, I work on the log-returns series. …
- 303
2
votes
0
answers
6k
views
auto.arima and Arima (forecast package)
code
auto.arima(data,d=0,D=1,xreg=1:length(data),max.p=3,max.q=3,max.order=10,
seasonal=TRUE,stepwise=FALSE,approximation=FALSE,ic=("aic"),parallel=TRUE)
The outcome is
Series: data
ARIMA … function:
Arima(data,order=c(1,0,3),seasonal=list(order=c(2,1,2),period=12),
xreg=1:length(data),method="ML")
but I get the following error message:
Error in optim(init[mask], armafn, method …
- 303
4
votes
0
answers
535
views
Time Series: Seasonality and trend
I am interested in financial time series and I have a small question regarding the use of the forecast package.
The time series I am interested in is a monthly one and present clear evidences of sea …
- 303
3
votes
1
answer
9k
views
auto.arima from Forecast package
As a first try, I use the command
auto.arima(data,d=0,D=1,max.p=2,max.q=2,max.P=2,max.Q=2,max.order=8, xreg=xreg_past,trace=TRUE,ic="aic")
The model I get is an ARIMA(2,0,2)(0,1,1)[12] with an AIC equal … Furthermore, If I take a look in the trace of the last function call, I see that the ARIMA(2,0,2)(0,1,1)[12] model has now an AIC of -245.13 which explains why it has been rejected. …
- 303
2
votes
0
answers
183
views
Time series and stationarity tests
In that situation, I could force the auto.arima function to consider only ARIMA models that include a linear trend, but I can also explore all the models (including or not the trend) and let auto.arima … Should the test result be prevalent to the selection of the ARIMA model, or is it best to consider all possible models and choose the best one ? …
- 303