# arima

1. ### How do I turn the n-ahead ARIMA predictions to undifferenced values?

Hello everyone, I`m doing a Monthly sales forecast based on some historical data. My question is when I do the Arima(p,d,q) and then I do forecast(arima_model) in order to get the fitted values, which are nicely following the historical data points, then If I take the mean values from the...
2. ### how to interpret the seasonal Arima model in equation

Hello, I have managed to get an Arima model with R but I have not managed to create the mathematical model SARIMA(4,1,1)(0,1,1)_{12} can you help me create the mathematical model? Y =
3. ### Fitting a spread into ARIMA AR(1)

I'm a newbie to econometrics. I've simply ran a regression and have coefficient values of the variables. I'm running a regression for a crypto data, and I've gotten the Spread of the variables. To forecast, I'll need to fit this spread into ARIMA AR(1) process after finding the best fit is...
4. ### Time series analysis - residuals arent stationary

Hey everyone, i'm struggling with modelling some times series to get residuals with white noise characteristics. I use SPSS for ARIMA modelling and exponential smoothing and Gretl for stationary testing with the Augmented-Dickey-Fuller and the KPSS-Test. My workflow: At first I use Gretl to...
5. ### Time Series Problem

Hi Everyone, I have a time series that I am trying to analyze. There are two sequences in the series that appear to be very similar and I want to determine if that can be logically inferred, and if so, what does that tell me about the series. It is my understanding that one must be very...
6. ### ARIMA model forecasting

I am having difficulty answering this question, would appreciate any help provided, thanks.
7. ### time series analysis

There is an aggregated measure represented by a variable A, modeled as a time series from a process. There was a need forecast A and also to find out the historical amount of data of A that is the best reflector of future values of A (as there was a data storage capacity issue). Using a...
8. ### ARIMA

There is an aggregated measure represented by a variable A, modeled as a time series from a process. There was a need forecast A and also to find out the historical amount of data of A that is the best reflector of future values of A (as there was a data storage capacity issue). Using a...
9. ### Simulation of technical analysis indicators

Hello! :wave: I have to test effectiveness of technical analysis indicators. Major problem is that I don't know how to correctly use output of arima.sim. I did sequantially: In order to conduct this study I created ARIMA model based on real data: data <-read.csv(file="enea.csv"...
10. ### Which is the better prediction model?

The aim is to predict the breakdown time of a machine as a percentage of scheduled hours for the next day. So my time series looks like this, Break_down_percentage = 7%, 8%, 10%, 6%, 12 % etc. There are 315 data points which can be used to test the different models. I used ets(), arima()...
11. ### updating ARIMA model

When should one use the different types of ARIMA model as mentioned below: Estimate the model order in the training data set and use the same order to forecast future values (updating the parameter estimates) Use a rolling window (e.g. 30 day )to make a new forecast by estimating model order...
12. ### Partial Autocorrelation Function

Hello everyone, I am preparing for a test and I have came across a question I am having problems with: Calculate partial autocorrelation of first and second order in the fillowing model: y[t]=-0.7*y[t-1]+e[t]+e[t-1] any solution or hints on that?
13. ### how to fit the auto arima model

hi guys, Im new to R and I got a problem unsolved for several days: I got a dataset which covers three years by week and I ran an auto arima on the train data set which is 80% of the original data set. Then I got the following result: ARIMA(1,0,0)(0,1,0)[53] with drift Im wondering how...
14. ### R Arima Equation Question - Please help!

Hello, I am new to R and I am trying to conduct a time series ARIMA analysis for my work.
15. ### MA() part of ARIMA: How do you get error terms?

I've been through the excellent forecasting book coauthored by Hyndman on otext.org. I'm having trouble understanding the actual algorithm. The MA(x) is supposed to be a moving average of error terms. But where does the error come from? Is it based on the AR(x) term? In that case, what about...
16. ### Time Series with Multiple Intervention Dates

I'm working with a time series in which the same intervention was applied to a large number of items but at different points. Essentially, I have figures by day (and can roll them up by week, month, etc.) and I am trying to figure out what the impact of the intervention is on the figures. The...
17. ### Selection of forecasting method - Winter/ARIMA/TBATS in R

Please find my dataset and forecast outputs attached. A) First sheet contains March-2011 to February 2014 data and forecast for March-2014 to February 2015 using ARIMA,Winter's,TBATS and BATS method.It also has forecast errors obtained by comparing with actual output. B) Second sheet has...
18. ### How to run a lagged (time series?) model in R?

Hi there, I am wanting to run a lagged model where a predictor (X) at T1 is regressed on an outcome (Y) at T2, controlling for Y at T1 plus 2 covariates at T1, over a total of 20 time points (so as to test whether X causes Y). I could use a cross-lagged SEM in Lavaan, but most papers I've...
19. ### rollapply with Arima model: testing for stability of coefficients

Hi everyone, I am trying to fit an arima model on a rolling window using rollapply.My aim is to plot a graph of the evolution of the coefficient, plot the error and the standard deviation. well i encountered the following problems: 1) each window in the roll apply have different set of...
20. ### Acf Pacf interpretation for ARMA modeling

Hi, I have trouble interpreting acf and pacf of the stationary series depicted. Could I receive some suggested interpretations, with focus on determining ARMA(p, q) order? Thanks, please let me know if i should give more information. Edit: I added a spectrum plot. Because if I'm...