2
votes
Accepted
Why ARIMA on same data says data is white noise for one forecast duration while not indicating that it's not white noise on a different duration
In my experience, ARIMA with nonzero $p$ and/or $q$ values is not great for long-horizon forecasts, so no wonder if ARIMA(0,0,0) is the best you can get for 12 steps ahead.
I am not familiar with <...
- 68.8k
1
vote
Accepted
ARIMA Model Forecasting - 95% Prediction Intervals
The textbook Forecasting: Principles and Practice mentions explicitly that they ignore the uncertainty in the parameter estimates when calculating the forecast intervals. Here is the last paragraph of ...
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1
vote
Should Correlation Between Out-of-Sample Forecasts and Actual Values Be Included in Forecast Evaluation Alongside RMSE?
I think it may be useful to include, since RMSE requires more interpretation to understand (i.e. what is a high or low RMSE value).
Part of this depends on how you are calculating RMSE - is it from ...
- 343
1
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Why do the simulations of my SARIMA model not resemble my original data?
Your model is $\operatorname{ARIMA}(p,d,q)(P,D,Q)_m$ where $p$ is the number of AR terms, $d$ is the number of differences, $q$ is the number of MA terms, $P$ is the number of seasonal AR terms, $D$ ...
- 508
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