**1.953 arima questions.**

Recently I saw a person's resume online and it is said he used ARMA and Gamma model to analyze time-series pattern of bond market volatility.I know what ARMA model and Gamma distribution is but not ...

I have a data set of weekly sales for a range of stores (all belonging to one company). I am trying to predict weekly/monthly use of several ingredients in the individual stores. The choice for what ...

Above is output from SAS.
What would be the corresponding ARIMAX equation? I would appreciate if someone could help me write the mathematical equation, preferably in the following form:
$$
Y(t)= ay(...

How do I find the root mean square error (RMSE) by auto.arima? What settings do I need to put into auto.arima to get the RMSE?

I have the weekly cost and revenue data for 50 weeksDate,Cost,Revenue
...
...
1/10/2018,10,8
8/10/2018,13,10
15/10/2018,13,11I want to predict the Revenue for ...

Basic problem: I need to predict the temperature for the next 120 hours.
I have historical hourly temperature data. It's easy to predict 120 hours using ARIMA, but I want to incorporate a local 5-...

I am calculating an autoregressive model with two different libraries (stats and dynlm). Attached you can find the code and the data. I am using in both libraries the same methodology (least squares). ...

I'm analyzing a time series that has this format:
...

I am estimating this model:
But I want to do some analysis of the variables before. In particular, I am interested in fitting some ARIMA models. First, I am doing it for the inflation rate in Mexico.
...

I have been trying to forecast the sales revenue of different product groups (the displayed sales revenue is aggregated over all products for each day e.g. smartphones with different prices as one ...

In time series models, such as ARMA-GARCH, is it possible to estimate what the unconditional distribution is? Given that the time series is auto-correlated / persistent, how many observations would be ...

I have a collection of time series data.
The data is structured (Country, Year, Value).
~50 countries and ~30 data points for each country
Is there a way to cluster time series?
Time intervals are ...

I have been trying to understand what model i should fit to these... I find it hard to understand the shape of ACF. What ARIMA(p,d,q) model is suitable for this data?
THANKS... :)

I'm trying to interpret the forecast values from an ARIMAX function, and I'm confused about what's happening in the actual forecasted values as I change the values for the predictor during the ...

I have the following for which I need to Sketch without proof the ACF and PACF:
$ AR(1)$ with $ ϕ=0.5. $
$ AR(1)$ with $ ϕ=-0.5. $
$ MA(1)$ with $ θ=0.5. $
$ MA(1)$ with $ θ=-0.5.$
can somebody ...

I have the equation
$$
Y_t = 1/2 Y_{t-1} + 1/2 Y_{t-2} - 1/3 \varepsilon_{t-1} + \varepsilon_t
$$
and I want to find the parameters p, q, and d.
Can somebody explain how I can know what the ...

Given the following daily time series data
I have used auto.arima in R to build a model. I used freq = 5 because the data is collected only on weekdays (Monday ...

Which is best and why between 2 models A and B where :
Log likelihood of A < Log likelihood of B
AICC of A > AICC of B
Thanks for your replies

I am attempting to write the mathematical model for and also simulate an MA(1) process that has drift (in R).
I have referenced ARIMA (0,1,1) or (0,1,0) - or something else?, Simulation of forecasted ...

I am trying to choose the correct ARIMA model.
To get a stationary series on which to plot the ACF and PACF on I've done the following transformations on my original series:
natural log
1st non-...

How do I find an $h$-step prediction interval (forecast interval) for a zero-mean ARMA(p,q) process
$$
x_t = \varphi_1 x_{t-1} + \dots + \varphi_p x_{t-p} + \varepsilon_t + \theta_1\varepsilon_{t-1} +...

English is not my first language so i apoligize for any mistakes.
I have been given a dataset containing around 700 observations of the amount of a certain chemical in the air. The observations are ...

I am missing something. I am trying to estimate an ARMA(2,2) model using Maximum Likelihood estimation via the scipy.optimize.minimie function.
I have simulated an ARMA(2,2) process via the ...

I am trying to fit a multivariate time series with the auto.arima() function in R. Since my time series has seasonality I included Fourier approximation and used ...

I have monthly data on the number of people who have a disease, say, cold, within the study population, and I have the number of people that took certain medication when they had the cold. And I have ...

I have a data comprising the proportion of a certain bat behavior across nights from 1800h to 1930h. I want to compare and check whether there is a difference in the behavior with 4 varying moon ...

I am working on Daily time series forecasting starts from 1-1-2016 to 31-08-2018, For such long series I have used below approach to forecasting for next 30 days.
...

Given 2 processes
$$
Z_t = \epsilon_t + \theta\epsilon_{t-1}
$$
$$
Z_t' = \epsilon_t' + \theta^{-1}\epsilon_{t-1}'
$$
where
$$
\epsilon_t \overset{iid}{\sim}\mathcal{N}(0, \sigma^2)
$$
$$
\epsilon_t' ...

I have a fairly predictable daily time series with weekly seasonality. I am able to come up with predictions that appear to be pretty accurate (confirmed by cross-validation) when there are no ...

I have tried to fit an ARMA GARCH model to my financial returns data. I chose an ARMA (1,1) because it has the lowest AIC, and the GARCH (1,1).
I get the following results but I do not understand the ...

I am a beginner of the R software v.3.2.5.
I fitted a hybrid ARMA+GARCH stochastic model to a sample of log-returns on an exchange rate using the rugarch package functions. The fitted(modelfitNUMBER)...

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 ...

I am trying to use generalized additive model for my analysis. However, I have question about the model. First question is, what is backfitting algorithm exactly ? I searched up but still don't ...

For the $AR(1)$ process, $$y(t)=\alpha+\beta*y(t-1)+e(t),$$ where $e(t)$ follow $MA(1)$ process, $$e(t)=u(t)+\gamma*u(t-1),$$ $u(t)$ has a distribution with zero mean and variance $\sigma^2$, for $t=1,...

I have two questions related to time series forecasting with ARIMA:
Does ARIMA require normally distributed errors or normally distributed input data ?
Are there any assumptions on input time series ...

Do you know any reference or how to prove that the autocorrelation at lag 1 for differenced series can't be greater than -0.5.
This has a link with Why does differencing time-series introduce ...

I want to conduct an Intervention Analysis using SPSS. Thereby, I want to find out if a specific regulation introduced in 2013 has an effect on leveraged loan volume. Thus, the dependent variable is ...

I'm using stats models state_space VARMAX. I have a model that seems reasonably able to produce a forecast (its not rejecting for stationarity, etc), but I don't want to just give it exogenous data.<...

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 ...

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 ...

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 ...

I'm trying to figure out how to make a prediction equation from the coefficients of an SPSS ARIMA model parameter table.
Based on what I understand of the backshift operator notation, I've written ...

Playing around with auto.arima to see how effective it is at model selection. I first simulated an $AR(1)$ process with $X_{t+1} = 0.9 X_t + \epsilon_t$
...

I was hoping someone could check if I'm understanding this correctly. I am aware Arima and auto.arima functions will automatically do this for me but I want to be sure I understand how it works.
The ...

I have the a time series data, the acf and pacf for which have been displayed below:
I get that MA term is 1. But I'm confused about AR term since it is geometrically decaying from 7th lag. Do I need ...

For testing I generated a very simple time series with a clear recurring pattern. I expected that auto.arima will generate a model, that can forecast that pattern, but óbviously it doesn't. Can anyone ...

Does somebody happen to know how to calculate the forecast with the LS formula since it got denominator? I got confused because of that.
Here's the model I've been using for the forecast.

Given two ARMA models, how close will their predictions be? Specializing to the case of ARMA(1,1), if a time series follows an ARMA process
...

I'm studying time series prediction and I have some questions.
Is the Moving Averages movel studied the methods of the ARMA family has the same concept as the methods studied in Moving Averages ...

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