All Questions
Tagged with model-selection arima
177
questions
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25
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Interpret the PACF plot to select the correct lag (AR model order)
I want to select lag (AR model order) for the series Food price inflation.
AIC gives 4.
SIC gives 3.
And also, I print its PACF plot.
How can I interpret the PACF plot to select the correct lag?
- 1,140
4
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1
answer
118
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Choosing Between Intercept-Only and AR-NN Models: Justified to not use the model with the lowest RMSE/MAE?
I have created two autoregressive models for forecasting: a basic intercept-only model and an AR-NN (autoregressive neural network) model. Both models show similar performance based on recursive one-...
- 311
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67
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ACF and PACF plots to estimate SARIMA orders
I have some data (sales of a particular item at a particular grocery store) which exhibits both trend and seasonality. I fit these trend and seasonality components by doing a linear regression of the ...
- 525
1
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1
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48
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What modeling approach should i use AR, MA, ARMA?
those are my ACF and PACF plots for my time series after two differentiating. I watched a couple of tutorials but I cannot figure out what method I am supposed to use. Also, an interpretation of the ...
- 143
4
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1
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76
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How to choose the best one model from ARIMAX, ARCH/GARCH and VAR?
Now I have 3 models to find what economic factors have an effect on gold price:
ARIMAX model
ARCH/GARCH model
VAR model
What is the tool to find the best model? In linear regression, we can ...
- 41
1
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1
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42
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Auto arima capital D
I've got time series 3 years long, there is seasonal uplift during December - but it's not so clear. Seasonal test fails.
I train model twice without setting any parameter:
...
- 25
1
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0
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61
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Specifying parameters for SARIMAX model with significant ACF / PACF at tails
I have hourly data that has a period of 1 day or 24 hours / time steps and I hope to do short term forecasting for a few days in advance. The ACF of the raw time series was periodic (see last figure) ...
- 1,189
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33
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SARIMA model selection for my data
I am new to time series analysis.
I need to determine whether my series is seasonal or not, and if it requires differencing for building an ARIMA model if it is possible? The time series data is ...
- 11
2
votes
1
answer
147
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Validity of Automatic Portmanteau test for serial correlation vs Ljung-Box Test
I would like to model the Value-at-Risk of U.S. sector indices and the U.S. Broad Dollar Index using the variance-covariance method. To achieve this, I model the conditional means and variances of the ...
- 21
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1
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80
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ACF and PACF graphs - MA, AR, ARMA, ARIMA?
The data are for areas.
How would I interpret these ACF and PACF graphs, and what model could I use?
To me, this is a non-stationary series and therefore an ARIMA would be suitable, but I don't know ...
- 3
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35
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What do you do when the lags in ACF are on the edge of significance? How would you descibe this ACF and PACF plot?
I have caluclated the first differences of a process and now created an ACF and PACF plot and I honestly don't know how to interpret it. I thought that it is an AR(1) process but I see some ...
3
votes
2
answers
572
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What's the 'right' number of parameters for an ARIMA model?
I'm working on an unassessed course problem,
The file Pas-mile.txt contains the monthly numbers of passenger miles travelled on US airlines for each month between ...
- 599
0
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0
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46
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Identify ARMA model with no autocorrelation in residuals [duplicate]
I have a set of log-return data for a commodity and am unable to identify an appropriate ARMA model. I used auto.arima() function, and the optimized model is (4,0,4) with zero mean. However, when I ...
- 39
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99
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How to identify ARMA order of Panel Regression
I am familiar with methods to determine the Autoregressive and Move Average orders of ARIMAX type models in a univariate time-series context, usually formulated as regression with ARMA errors. I am ...
- 11
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233
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How to choose model parameters based on ACF and PACF in SARIMA model?
I have some monthly data which show the number of visitors to a country whose plot is given below
Since there seems a non-constant variance, I took the log, which stabilized the variance.
To remove ...
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