How to interpret the second part of an auto arima result in R?

Question

I am performing a time series analysis on my data and I have run the auto arima function to determine the best coefficients to use in my ARIMA model.

model1 <- auto.arima(log(mydata_ts))
model1

Series: log(mydata_ts) 
ARIMA(2,1,1)(1,0,0)[12] 

Coefficients:
          ar1      ar2     ma1    sar1
      -1.1413  -0.3872  0.9453  0.7572
s.e.   0.1432   0.1362  0.0593  0.0830

sigma^2 estimated as 0.006575:  log likelihood=48.35
AIC=-86.69   AICc=-85.23   BIC=-77.44

I understand that (2,1,1) in the result above refer to the values of p, d and q that will be used in the ARIMA model. But what about (1,0,0)?

https://stackoverflow.com/questions/23617662/extract-arima-specificaiton — MichaelChirico, Nov 05 '17 at 08:55

score 3 · Accepted Answer · answered Nov 05 '17 at 08:58

3

ARIMA(2,1,1)(1,0,0)[12] is seasonal ARIMA. [12] stands for number of periods in season, i.e. months in year in this case. (1,0,0) stands for seasonal part of model. Take a look at this.

answered Nov 05 '17 at 08:58

Glaud

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Thanks. If I understand well, this is how I plug in those figures: fit <- arima(log(mydata_ts), c(2, 1, 1),seasonal = list(order = c(1, 0, 0), period = 12)) – user3115933 Nov 05 '17 at 09:14
exactly what i wanted! – zeroflaw Jul 18 '18 at 06:27
The link doesnt work anymore. – KarthikS May 30 '23 at 17:11

How to interpret the second part of an auto arima result in R?

1 Answers1