# arima's questions - English 1answer

1.904 arima questions.

### divergence of beta estimates between OLS and regression with ARIMA error

I have physiological time-series data: ~60k observations per channel, ~100 Hz sampling. I will model individual channels with ~20 regressors. Under OLS, given temporal autocorrelation in the data, ...

### 1 What's the definition of “Dynamic Regression Models”?

I am trying to learn about Dynamic Regression models. However, the sources on the topic is (relatively) few compared to other TS topics, and so I cannot really get a grasp of where to start. I really ...

### auto.arima() and manual search gives different p & q values

Hello, I have a non-stationary time series (population data) with 66 observations. Attached png file contains the acf and pacf plot for differenced (d=2) series. (1) From that I assumed p=1 & q=1 (...

### 1 Estimate the best ARMAX model with one lagged independent variable (time series)?

3 answers, 562 views time-series arima stationarity armax
I have two time series to work with, let's say $X_1$ and $X_2$. First I have to estimate the best pure ARMA model for $X_1$; which is no problem. For that I perform the following steps: Stationarize ...

### I am getting error in arima function of R forecast package for both methods, CSS and ML

0 answers, 16 views r forecasting arima

### How to find multicollinearity in SARIMAX model

1 answers, 31 views r arima multicollinearity
I am working on Malaria cases vs. Meteorological variables. I want to fit a SARIMAX model using met vars to predict cases. My query is how to find multicollinearity between them (Independent) to ...

### Enforce invertiblity of an MA(q) process with non-unit coefficient

0 answers, 14 views time-series arima moving-average
Consider the MA(p) process $y_t = \theta_0 \varepsilon_t + \theta_1 \varepsilon_{t-1} + \ldots + + \theta_q \varepsilon_{t-q}$, where $\theta_0 \neq 1$, contrary to the convention taken in most ...

### 2 Can I overfit an ARIMA model?

1 answers, 40 views time-series forecasting arima
I am using the forecast package and the auto.arima function. This function tries different arima model with different p and q ...

### 2 I computed ARMA equation from R manually but never got the same result with predict() or forecast() provided by R

I've got a little problem here. I've been doing analysis with time series data using ARMA, and it always turns out that the parameters I get from R didn't fit to my computation when I do it manually. ...

### 2 ARMA Model Interpretation from R

1 answers, 26 views r arima
I tried my data into an $ARMA$ model which is turned out to be $ARMA(2,3)$. I want to extract the model from the parameters I got in the pic (without any transformation). Is it right if I write the ...

### 2 ARIMA Model configuration for hourly forecasting problem

2 answers, 63 views r forecasting predictive-models arima
I have a database based on hourly data and I need to forecast next 24h of a single variable. I was thinking about applying an ARIMA model with some exogenous variables but I don't succeed to configure ...

### 1 ARIMAX model in R

I want to fit ARIMAX model in R. For simplicity, let's consider model: $Y_t = \theta Y_{t-1} + \beta X + \epsilon$. I know function auto.arima(), but it fits ARIMA ...

### 4 What is the difference between ARMA+Fourier and TBATS model?

I am just wondering that, in terms of the multi-seasonal time series forecast, what is the difference between using auto.arima find the ARMA order, then fit ...

### SARIMAX(1,0,0)(0,0,0,0): Regression with ARMA errors or ARMAX?

I'm trying to unravel the influences of various exogenous regressors on a time series dataset. I'm getting good results with a sarimax(1,0,0)(0,0,0,0) specification, but I'm confused about the ...

### 1 ARIMA Analysis (Box Jenkins Method) In R

1 answers, 932 views time-series arima box-jenkins
So I have a time series which I cannot share with you all, but I have a few questions about the proper proceedings to fit the correct ARIMA model for my data. I have successfully written a loop to ...

### ARIMA Question: Is it more preferable to use monthly data over quarterly, or vice-versa?

I'm an actuary trying to model future losses. I have the ability to use monthly or quarterly data, and I'm curious if there is any material difference in using either periods. I understand there may ...

### -1 How does ARIMA function know which lag to use?

1 answers, 32 views forecasting arima lags
Say for an ARIMA function with orders, ARIMA(3,1,1). How does ARIMA know which lag to consider. It may not be always be lags at t-1, t-2, t-3. It could be t-4, t-15,t-22.

### 1 Vector ARMA, trend and mean reversion

1 answers, 382 views time-series arima econometrics var
This question is addressed to expert in econometrics. I generally fit econometric models and statistical learning models to financial time series and some discretionary traders usually asked me if I ...

### 1 How do I restore per day real sale count by stockout time and average sale count?

0 answers, 16 views regression time-series arima
I am working in a online supermakert , my current work is to predict daily sale count of fresh goods. I tried to use time series model ARMA and xgboost, but both didn't fit well. The problem is ...

### 5 Forecasting daily visits using ARIMA with external regressors

1 answers, 336 views r forecasting arima
I have daily visitors data for the last 10 years. I want to do some basic tests like which is the busiest day, which is the busiest month, busiest week etc. I used ...

### forcasting future cash flow based upon previous data

Given this time series data: ...

### Assumption of ARIMA and relation to ARCH/GARCH model?

I only have a very basic understanding of time series analysis. As I am learning ARIMA and then ARCH/GARCH models, I have some subtle (at least for me) questions on the common procedure to build such ...

### 7 Use Holt-Winters or ARIMA?

3 answers, 5.840 views time-series arima exponential-smoothing
My question is around the conceptual difference between Holt-Winters and ARIMA. As far as I understand, Holt-Winters is a special case of ARIMA. But when is one algorithm preferred over the other? ...

### 4 Unconditional distribution of ARMA process with t-student errors

In the $Y_t\sim ARMA(p,q)$ model, when the errors have Normal distribution, the unconditional distribution of $Y_t$ is Normal. When the errors have a t-student distribution with $\nu$ degrees of ...

### 2 Question about ARMA order in the univariate GARCH model specification

1 answers, 40 views time-series arima stationarity garch
Would it be correct to say that the series is stationary in the below code, since only ARMA order is specified? ...

### SARIMAX doesn't fit the model

1 answers, 26 views time-series arima
I used this tutorial to find optimal coefficients for my ARIMA model and still it pretty bad (see picture). How can I improve it? ...

### No ARCH effect in some series in the data set?

Of the 60 series in my dataset, 26 don't exhibit an ARCH effect. I have first fitted an ARIMA model (auto.arima() in R) and tested it's squared residuals for ...

### 6 Distinguish an ARMA and an ARIMA model graphically

I'm currently analyzing some time series data and I need to know how to distinguish an ARMA model from an ARIMA model just by looking at the auto-correlation function and partial auto-correlation ...

### In R, pacf() function not consistent with arima()\$coef

1 answers, 21 views r time-series arima acf-pacf
Is my understanding off with what to expect from the following functions output: ...

### 2 Time series forecasting and decomposition

I have a project about time series analysis. My data are not stationary and they have daily seasonality as shown in figure below. Is it correct to do the following steps? Decompose Time serie into ...

### 4 ARIMA, adjustments and intervention analysis

I have very little knowledge of time-series analysis (despite my stat master - didn't do anything else than an introductory course) but now I'm facing a statistical problem whose answer is this very ...

### How and if to scale an ARIMA model based on relevant information

1 answers, 24 views forecasting predictive-models arima
Suppose I am using an ARIMA model to predict monthly sales in my business. Now my data has some seasonality month on month and overall a trend upwards. I use some mathematical tools to make the data ...