1. R

    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 =
  2. K

    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...
  3. L

    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...
  4. R

    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...
  5. J

    ARIMA model forecasting

    I am having difficulty answering this question, would appreciate any help provided, thanks.
  6. M

    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...
  7. M


    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. M

    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"...
  9. M

    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()...
  10. M

    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...
  11. L

    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?
  12. Y

    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...
  13. A

    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.
  14. J

    MA() part of ARIMA: How do you get error terms?

    I've been through the excellent forecasting book coauthored by Hyndman on 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...
  15. E

    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...
  16. T

    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...
  17. U

    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...
  18. N

    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...
  19. S

    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...
  20. I

    Is ARIMA model appropriate for this dental research?

    Hi members. Please, I have a doubt in my study for doctoral thesis… Title: “Development of a thermal cycling protocol for dental materials”. Objective: to create a protocol for thermal aging, from measurements that were found in people mouth. Doubt: What analyses could I use for this...