All Questions
Tagged with model-selection time-series
224
questions
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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
vote
1
answer
89
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Selection of best VARX model using VAR() in R
I have 9 variables (all stationary) grouped into five different datasets (each set has 4 common variables and one different). How can I evaluate which is the best VARX model? I'm using ...
- 21
3
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answers
38
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What critical level to use in diagnostic tests for model selection in forecasting?
I have been reading Hyndman & Athanasopoulos "Forecasting: Principles and Practice" (newest edition here) recently, and I noticed something that I regard as a possible inconsistency. On ...
- 68.6k
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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
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1
answer
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
vote
1
answer
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
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0
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45
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What kind of series is this? Time series Model Choice
I am trying to model a series (mainly as self-education, as a way of deepening my time series knowledge). The series is percentage growth in GDP per capita for the United States, taken from the World ...
- 1
1
vote
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
1
vote
1
answer
99
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How many lags to include? (Temperature data set)
I have a time series of daily temperature with autocorrelation that looks like this:
Of course, temperature is heavily autocorrelated. When looking at the partial autocorrelation plot, lags are ...
- 53
0
votes
1
answer
225
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Granger-Causality test result interpretation
I have fitted a VAR model to first-differenced financial data, and conducted a Granger-Causality test on stationary data. The results can be seen below:
The above results show that only one variable ...
- 113
0
votes
1
answer
80
views
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
0
votes
0
answers
35
views
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
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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 ...
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