Modelling nonnegative integer time series

SWIM S. 06/12/2018 at 21:40. 1 answers, 78 views
time-series arima data-preprocessing

I have a time series of integer values $x \geqslant 0$. I would like to model it using, say, ARIMA, or Holt-Winters. How do I properly preprocess it for the task? I tried log-transform of $x' = x + 1$. Are there any other ways?

1 Answers


Rob Hyndman 06/12/2018 at 22:37.

Use a model for non-integer time series, not ARIMA or Holt-Winters' method. You could try an INAR for example, or an autoregressive conditional Poisson model, or a GLARMA model. See Fokianos (2012) for a comprehensive review. Some possibilities in R are described in Liboschik et al (2017).

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