Statistical Analysis Stack Exchange
Statistical Analysis Stack Exchange

Questions tagged [arima]

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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Real-life examples of moving average processes

Can you give some real-life examples of time series for which a moving average process of order $q$, i.e. $$ y_t = \sum_{i=1}^q \theta_i \varepsilon_{t-i} + \varepsilon_t, \text{ where } \varepsilon_t \sim \mathcal{N}(0, \sigma^2) $$ has some a…
weez13
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What are disadvantages of state-space models and Kalman Filter for time-series modelling?

Given all good properties of state-space models and KF, I wonder - what are disadvantages of state-space modelling and using Kalman Filter (or EKF, UKF or particle filter) for estimation? Over let's say conventional methodologies like ARIMA, VAR or…
Kochede
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What is the difference between GARCH and ARMA?

I am confused. I don't understand the difference a ARMA and a GARCH process.. to me there are the same no ? Here is the (G)ARCH(p, q) process $$\sigma_t^2 = \underbrace{ \underbrace{ \alpha_0 + \sum_{i=1}^q \alpha_ir_{t-i}^2} …
John
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Why are MA(q) time series models called "moving averages"?

When I read "moving average" in relation to a time series, I think something like $\frac{(x_{t-1} + x_{t-2} + x_{t-3})}3$, or perhaps a weighted average like $0.5x_{t-1} + 0.3x_{t-2} + 0.2x_{t-3}$. (I realize these are actually AR(3) models, but…
Stats newb
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What are the values p, d, q, in ARIMA?

In the arima function in R, what does order(1, 0, 12) mean? What are the values that can be assigned to p, d, q, and what is the process to find those values?
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Is it unusual for the MEAN to outperform ARIMA?

I recently applied a range of forecasting methods (MEAN, RWF, ETS, ARIMA and MLPs) and found that MEAN did surprisingly well. (MEAN: where all future predictions are predicted as been equal to the arithmetic mean of the observed values.) MEAN even…
Andy T
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Detecting Outliers in Time Series (LS/AO/TC) using tsoutliers package in R. How to represent outliers in equation format?

Comments: Firstly I would like to say a big thank you to the author of the new tsoutliers package which implements Chen and Liu's time series outlier detection which was published in the Journal of the American Statistical Association in 1993 in…
forecaster
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How to fit an ARIMAX-model with R?

I have four different time series of hourly measurements: The heat consumption inside a house The temperature outside the house The solar radiation The wind speed I want to be able to predict the heat consumption inside the house. There is a clear…
utdiscant
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"Frequency" value for seconds/minutes intervals data in R

I'm using R(3.1.1), and ARIMA models for forecasting. I would like to know what should be the "frequency" parameter, which is assigned in the ts() function, if im using time series data which is: separated by minutes and is spread over 180 days…
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When to log transform a time series before fitting an ARIMA model

I have previously used forecast pro to forecast univariate time series, but am switching my workflow over to R. The forecast package for R contains a lot of useful functions, but one thing it doesn't do is any kind of data transformation before…
Zach
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How to understand SARIMAX intuitively?

I'm trying to understand a paper about electric load forecasting but I'm struggling with the concepts inside, specially the SARIMAX model. This model is used to the predict the load and uses many statistical concepts that I do not understand (I'm an…
Clash
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What's the point of time series analysis?

What is the point of time series analysis? There are plenty of other statistical methods, such as regression and machine learning, that have obvious use cases: regression can provide information on the relationship between two variables, while…
Dhalsim
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How to Handle Many Times Series Simultaneously?

I have a data set including the demand of several products (1200 products) for 25 periods and I need to predict the demand of each product for the next period. At first, I wanted to use ARIMA and train a model for each product, but because of the…
Katatonia
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How to calculate the p-value of parameters for ARIMA model in R?

When doing time series research in R, I found that arima provides only the coefficient values and their standard errors of fitted model. However, I also want to get the p-value of the coefficients. I did not find any function that provides the…
Lisa
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Seeking certain type of ARIMA explanation

This may be hard to find, but I'd like to read a well-explained ARIMA example that uses minimal math extends the discussion beyond building a model into using that model to forecast specific cases uses graphics as well as numerical results to…
rolando2
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