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Questions tagged [arima]

ARIMA (AutoRegressive Integrated Moving Average) model is a statistical model for finding patterns in time series in order to predict future points in the series.

In time series analysis, ARIMA (AutoRegressive Integrated Moving Average) model is a statistical model for finding patterns in time series in order to predict future points in the series (forecasting).

If your question concerns theoretical topics on ARIMA or practical topics which are not about implementation you might want to ask the question on cross validated.

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Forecast with ARIMA model with python using unseen data instead of training data

I fitted an ARIMA model to a time series. Now I would like to use the model to forecast the next steps, for example 1 test, given a certain input series. Usually I find that fit.forecast() is used (as below), but this forecast works on the series it…
randomwalker
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Issues with displays timeseries with streamlit

im trying to displays forecasting timeseries using streamlit,but im stuck because i dont know what should i do first,bcs for timeseries im using jupyter notebook and i got confused how to displays it with streamlit(issue with stationary,etc).Can you…
adinda aulia
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EWM in pandas for timeseries transformation

I am trying to do a time series prediction with ARIMA. So, as the first step, I am doing some series transformation #Taking log transform dflog=np.log(df) #Taking exponential weighted mean`enter code here` df_expwighted_mean =…
Johnson Francis
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Time Series and MA-model look equal in R

I am using the forecast package of R and I created a MA(1) model by using the ARIMA function. I plotted the time series itself ($x variable of the ma_model), the model itself ($fitted variable of the ma_model) and the residuals (residuals variable…
PeterBe
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how to count how many times an arima order is not true before the first true order is obtained in r for different combo of arima simulation

Most times one runs arima.sim() function to simulate a particular order of arima mosel but when one check such simulated time series data through auto.arima() function, it will not often time be the same order of ARIMA one desire and specified in…
Daniel James
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How to forecast time series using AutoReg in python

I'm trying to build old school model using only auto regression algorithm. I found out that there's an implementation of it in statsmodel package. I've read the documentation, and as I understand it should work as ARIMA. So, here's my code: import…
Yoskutik
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Are there any rules when it comes to determining the Order and the Seasonal Order in a SARIMA?

Are there any rules when it comes to determining the Order and the Seasonal Order in a SARIMA? I have noticed that when I use StatsModels in Python I can't choose a seasonal lag that is below or equal to the number of AR lags. Example: I am running…
RLA
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Nth order difference and Nth difference

In ARIMA/SARIMA one parameter id "d", which specifies difference. For differencing when d>1, I have heard two expressions: "n differencing", "n-order differencing". Are these two expressions referring to the same thing? For example, for 2nd order…
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R: How to plot multiple ARIMA forecasts on the same time-series

I would like to plot several forecasts on the same plot in different colours, however, the scale is off. I'm open to any other methods. reproducible example: require(forecast) # MAKING DATA data <- c(3.86000, 19.55810, 19.51091, …
HarriS
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How to change the y-axis scale in plot for a forecast object?

I have the following graph made with plot. I basically plotted the outcome of an arima model. The problem, as you can see, is the y-axis. I want to rescale it so that it shows values as integers and not in scientific notation. I already tried with…
Rollo99
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Simulating Time Series Model in R

I want to answer the following question, I know that I can use the arima.sim function but I am not sure how to simulate model asked: I want to simulate the following: yt =α+βt+φyt−1 +εt, εt ∼IIDN(0,1) when: alpha=1, beta=0 and theta=0.8 Before each…
Peter
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auto_arima returning the best model as SARIMAX even when time series is stationary and has no seasonal component in Python

I have a time series dataset having frequency as daily. I have checked that my dataset is stationary using augmented dickey-fuller test. After which, when i am trying to determine the values of p,d,q using: from pmdarima import…
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Extract AICs from an ARIMA using a nested loop

I am trying to extract AICs & BICs from an ARIMA estimation with different combinations of p & q (p=0,1,2,3 and q=0,1.2,3). I have tried using the following code, unsucessfully. code: storage1 <- numeric(16) for (p in 0:3){ > for (q in…
Leadmoore
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How do I interpret the results of an ARIMAX function from the PyFlux library?

I'm conducting an ARIMAX model of my data. The code is: model = pf.ARIMAX(data = meg_crude_merge_drop[:-12], formula='MEG~CrudeOil+1', ar=4, ma=3, integ = 2,family=pf.Normal()) ...and the output from this code: x =…
JamesAng
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How can I add a new column with forecasts?

I'm trying to Forecast with the ARIMA-Model . My question is, how to create a new Column that contains my forecasted values with the new Date in the Future (based on the steps in the Future)..this is my Code: import numpy as np import pandas as…
Ahmed Madiouni
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