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    Time Series Analysis

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    Samarth Väìşh
    Time series analysis is used to analyze data collected at regular intervals over time to determine trends and forecast future values. The document discusses using an ARIMA model for time series forecasting of metro passenger numbers. It describes ARIMA as a combination of autoregressive and moving average models used to account for correlation between past and current periods and smooth out noise. Autocorrelation and partial autocorrelation plots are used to determine the ARIMA model parameters. Stationarity of the time series also needs to be checked using rolling statistics or the Augmented Dickey-Fuller test before applying ARIMA.

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    Time Series Analysis

    Uploaded by

    Samarth Väìşh
    75 views3 pages
    Time series analysis is used to analyze data collected at regular intervals over time to determine trends and forecast future values. The document discusses using an ARIMA model for time series forecasting of metro passenger numbers. It describes ARIMA as a combination of autoregressive and moving average models used to account for correlation between past and current periods and smooth out noise. Autocorrelation and partial autocorrelation plots are used to determine the ARIMA model parameters. Stationarity of the time series also needs to be checked using rolling statistics or the Augmented Dickey-Fuller test before applying ARIMA.

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    Time series analysis is used to analyze data collected at regular intervals over time to determine trends and forecast future values. The document discusses using an ARIMA model for time series forecasting of metro passenger numbers. It describes ARIMA as a combination of autoregressive and moving average models used to account for correlation between past and current periods and smooth out noise. Autocorrelation and partial autocorrelation plots are used to determine the ARIMA model parameters. Stationarity of the time series also needs to be checked using rolling statistics or the Augmented Dickey-Fuller test before applying ARIMA.

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
    Download as docx, pdf, or txt
    75 views3 pages

    Time Series Analysis

    Uploaded by

    Samarth Väìşh
    Time series analysis is used to analyze data collected at regular intervals over time to determine trends and forecast future values. The document discusses using an ARIMA model for time series forecasting of metro passenger numbers. It describes ARIMA as a combination of autoregressive and moving average models used to account for correlation between past and current periods and smooth out noise. Autocorrelation and partial autocorrelation plots are used to determine the ARIMA model parameters. Stationarity of the time series also needs to be checked using rolling statistics or the Augmented Dickey-Fuller test before applying ARIMA.

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    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
    Download as docx, pdf, or txt
    of 3

    Time series analysis

    Problem Statement:
    Forecast the number of passengers travelling in the metro in next
    year.
    Solution Statement:
    TS is a collection of data points collected at constant time intervals.
    These are analyzed to determine the long term trend so as to forecast
    the future or perform some other form of analysis. In Time series, we
    have only 2 variables, time & the variable we want to forecast.

    System Architecture:
    Flow chart:
    Analytics:

    ARIMA model
    ARIMA(Auto Regressive Integrated Moving Average) is a
    combination of 2 models AR(Auto Regressive) & MA(Moving
    Average). It has 3 hyperparameters - P(auto regressive lags),d(order
    of differentiation),Q(moving avg.) which respectively comes from the
    AR, I & MA components. The AR part is correlation between prev &
    current time periods. To smooth out the noise, the MA part is used.
    The I part binds together the AR & MA parts.
    How to find value of P & Q for ARIMA ?
    We need to take help of ACF(Auto Correlation Function) &
    PACF(Partial Auto Correlation Function) plots. ACF & PACF graphs
    are used to find value of P & Q for ARIMA. We need to check, for
    which value in x-axis, graph line drops to 0 in y-axis for 1st time.
    From PACF(at y=0), get P
    From ACF(at y=0), get Q

    Tests to check if a series is stationary or not


    There are 2 ways to check for Stationarity of a TS:
    a) Rolling Statistics - Plot the moving avg or moving standard
    deviation to see if it varies with time. Its a visual technique.
    b) ADCF Test - Augmented Dickey–Fuller test is used to gives us
    various values that can help in identifying stationarity. The Null
    hypothesis says that a TS is non-stationary. It comprises of a Test
    Statistics & some critical values for some confidence levels. If the
    Test statistics is less than the critical values, we can reject the null
    hypothesis & say that the series is stationary. THE ADCF test also
    gives us a p-value. Acc to the null hypothesis, lower values of p is
    better.

    ADCF test
    In statistics and econometrics, an augmented Dickey–Fuller test
    (ADF) tests the null hypothesis that a unit root is present in a time
    series sample. The alternative hypothesis is different depending on
    which version of the test is used, but is usually stationarity or trend-
    stationarity. It is an augmented version of the Dickey–Fuller test for a
    larger and more complicated set of time series models.

    The augmented Dickey–Fuller (ADF) statistic, used in the test, is a


    negative number. The more negative it is, the stronger the rejection of
    the hypothesis that there is a unit root at some level of confidence.

    p value(0<=p<=1) should be as low as possible. Critical values at


    different confidence intervals should be close to the Test statistics
    value.

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