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Results tagged with arima
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user 263567
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
984
views
ARMAX with lagged exogenous variables
I have difficulties finding the implementation of ARIMAX, ARMAX model where the exogenous variable would be also included with the time lags:
$X_{t}=\varepsilon_{t}+\sum_{i=1}^{p} \varphi_{i} X_{t-i}+ …
- 61
1
vote
Accepted
Recursive ARIMA
implement this through Kalman filter, with the help from GitHub:
SARIMAX: incremental Kalman filter (question)
Basically, with initial parameters and covariance of the initial model:
mod_test = ARIMA …
- 61
3
votes
1
answer
427
views
Recursive ARIMA
I am trying to implement recursive ARIMA that would just update the parameters with new data point, rather than re-estimate them from scratch, without taking into account the previous model. …
- 61