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ARIMA

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sharath B N
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10 views1 page

ARIMA

Uploaded by

sharath B N
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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ARIMA (Autoregressive Integrated Moving Average Model)

 AR: Autoregression. A model that uses the dependent relationship between an observation
and some number of lagged observations.
 I: Integrated. The use of differencing of raw observations (e.g. subtracting an observation
from an observation at the previous time step) in order to make the time series stationary.
 MA: Moving Average. A model that uses the dependency between an observation and a
residual error from a moving average model applied to lagged observations.

The parameters of the ARIMA model are defined as follows:


 p: The number of lag observations included in the model, also called the lag order.
 d: The number of times that the raw observations are differenced, also called the
degree of differencing.
 q: The size of the moving average window, also called the order of moving average

The classical approach for fitting an ARIMA model is to follow the Box-Jenkins
Methodology.
This is a process that uses time series analysis and diagnostics to discover good
parameters for the ARIMA model.

In summary, the steps of this process are as follows:

1. Model Identification. Use plots and summary statistics to identify trends, seasonality, and
autoregression elements to get an idea of the amount of differencing and the size of the lag
that will be required.
2. Parameter Estimation. Use a fitting procedure to find the coefficients of the regression
model.
3. Model Checking. Use plots and statistical tests of the residual errors to determine the
amount and type of temporal structure not captured by the model.

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