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Results tagged with arima
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user 328848
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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How to optimise ARIMA model results - Have p q d been selected properly
First of all, your data seems to have a structural break - I would see to it with Chow test or Bai Perron test, it might be that a TAR or TARMA model will fit your data better.
Second of all, your dat …
- 205
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(MA) Moving Average model - what mean do I take? And its role in ARMA model
I've been struggling to understand how I should actually calculate the MA model, in particular - what mean do I take? In Wikipedia there's the formula:
$$
X_t = \mu + \varepsilon_t + \theta_1\varepsil …
- 205