The Theory Behind ARIMA

Bidyut Ghosh explains how the ARIMA forecasting method works:

The earlier models of time series are based on the assumptions that the time series variable is stationary (at least in the weak sense).

But in practical, most of the time series variables will be non-stationary in nature and they are intergrated series.

This implies that you need to take either the first or second difference of the non-stationary time series to convert them into stationary.

Bidyut ends with a little bit of implementation in R, but I’d guess that’ll be the focus of part 2.

Related Posts

Timing R Function Calls

Colin Gillespie shows off an R package for benchmarking: Of course, it’s more likely that you’ll want to compare more than two things. You can compare as many function calls as you want with mark(), as we’ll demonstrate in the following example. It’s probably more likely that you’ll want to compare these function calls against more […]

Read More

Linear Programming in Python

Francisco Alvarez shows us an example of linear programming in Python: The first two constraints, x1 ≥ 0 and x2 ≥ 0 are called nonnegativity constraints. The other constraints are then called the main constraints. The function to be maximized (or minimized) is called the objective function. Here, the objective function is x1 + x2. Two classes of […]

Read More

Categories

April 2018
MTWTFSS
« Mar May »
 1
2345678
9101112131415
16171819202122
23242526272829
30