0% found this document useful (0 votes)
15 views28 pages

Lecture 19 Seas Arima

The lecture discusses Seasonal ARIMA (SARIMA) models, which are used for forecasting time series data with seasonal patterns. It covers the formulation of purely seasonal and mixed seasonal ARIMA models, their characteristics, and how they incorporate seasonal adjustments into forecasting. The lecture also includes examples and derivations related to autocorrelations and model specifications.

Uploaded by

qwang971218
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
0% found this document useful (0 votes)
15 views28 pages

Lecture 19 Seas Arima

The lecture discusses Seasonal ARIMA (SARIMA) models, which are used for forecasting time series data with seasonal patterns. It covers the formulation of purely seasonal and mixed seasonal ARIMA models, their characteristics, and how they incorporate seasonal adjustments into forecasting. The lecture also includes examples and derivations related to autocorrelations and model specifications.

Uploaded by

qwang971218
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
You are on page 1/ 28

Statistics 5350/7110

Forecasting

Lecture 19
Seasonal ARIMA Models

Professor Robert Stine


Admin Issues
• Questions

• Assignments

• Quick review
• Building ARIMA models in pr ctice
• Filling in some det ils: Lecture_18.Rmd
- Simil rity of the models for GDP
- Model drift
- De ling with n outlier
• IMA models s v ri tions on exponenti l smoothing (next slide)

2
a
a
a
a
a
a
a
a
a
Review: IMA Model as Average
• Exponenti l smoothing
• Equiv lent to IMA(1,1) if tre ted s forec sting procedure (i.e., with time shift)
• Forec sts re weighted ver ge of p st
X̂n+1|n = wj = 1, wj = (1 − λ) λ j
∑ ∑
wj Xn−j where
j=0 j=0
• All ARIMA(0,1,q) models h ve this gener l form:
One-step he d prediction is weighted ver ge of prior v lues

• Deriv tion
• ARIMA(0,1,q) h s the form
(1 − B)Xt = wt + θ1wt−1 + ⋯ + θqwt−q or (1 − B) Xt = θ(B) wt
• As n in inite AR model
(1 − B)θ(B)−1 Xt = wt π(B) = 1 + π1B + π2B 2 + ⋯ so th t X̂n+1|n = −

where πj Xn+1−j
j=1
π(B)

• Invertibility implies π(1) = 0 so th t π1 + π2 + ⋯ = − 1.


3
a
a
a
a
f
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
Today’s Topics
Text, §5.3

• Se son l ARIMA models (SARIMA) Expl ins the n me of the


“s rim ” functions in R
• P rsimonious represent tion for e iciency
• S me s ARIMA model with cert in coe icients constr ined to be zero
• Not new model, just convenient w y to express constr ints

• Pure nd mixed types


• Pure: Non-zero correl tions t multiples of speci ic period
• Mixed: Combine two types of dependence

• Relev nce
• Just bout every m croeconomic time series
you’ll ind h s been se son lly djusted.
• SARIMA models llow you to incorpor te th t
djustment into YOUR model.
4
a
a
a
a
a
a
a
a
a
f
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
ff
a
a
ff
a
f
Seasonal ARIMA Models
Purely Seasonal ARIMA Model
• Nonzero utocorrel tions t multiples of se son l period
• Qu rterly d t : utocorrel tions t 4 months
• Monthly d t : utocorrel tions t 12 months

• Ex mple
• Simul ted for cl rity (these re r re 😁) Ex mple 5.11
Figure 5.9
• Regul r p ttern from ye r to ye r:
Febru ry routinely higher
April routinely lower
• Nonzero utocorrel tions t se son l sp cing

• Model
• Not tion: monthly process (S=12) SARIMA(1,0,0)12
Xt = Φ Xt−12 + wt or (1 − ΦB 12)Xt = wt
• Equiv lent to AR(12) model with ll of the intervening
coe icients φ1, φ2, … φ11 = 0.
• St tion rity requires |Φ| < 1 s in usu l AR models 6
a
a
a
a
a
ff
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
Purely Seasonal ARIMA Model
• Se son l AR(1) model
• Speci ic tion is Xt = Φ Xt−12 + wt
• P tterns in ACF nd PACF
• Why re the intervening correl tions zero?
Ex mple 5.11
• In inite MA represent tion Figure 5.9
Xt = Xt 12 + wt
<latexit sha1_base64="ef41Eq+bTTBlVZAtXQWgc9PXiJw=">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</latexit>

= ( Xt 24 + wt 12 ) + wt
= wt + wt 12 + 2 ( Xt 36 + wt 24 )
= w
Pt 1+ wt 12 + 2 wt 24 + 3 Xt 36
12 j
= j=0 wt 12j
• Nonzero ACF t sp cing given by se son l period
• PACF: zero once we know v lue 12 months previous
• Expl ins st tion rity condition

7
a
a
f
a
a
a
f
a
a
a
a
a
a
a
a
a
a
a
a
Mixed Seasonal ARIMA Model Ex mple 5.12

• Autocorrel tions t m ny l gs
• Never so “pure” s in prior ex mples, with nothing but few spikes
• We observe estim tes r ther th n true utocorrel tions

• Ex mple
• Simul ted for cl rity (so we know the process ACF)
• MA(1) combined with SAR(1)
• Nonzero utocorrel tions cluster ne r se son l period

• Not tion
• Monthly process (S=12) Not tion uses “c pit lized”
letters for the se son l
Xt = Φ Xt−12 + wt + θwt−1 p r meters

• B ckshift polynomi l form


(1 − ΦB 12)Xt = θ(B) wt
• Equiv lent to n ARMA(12, 1) model with ll of the intervening coe icients φ1, φ2, … φ11 = 0.

8
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
Mixed Seasonal ARIMA Model Ex mple 5.12

• Process
• Monthly process (S=12) Xt = Φ Xt−12 + wt + θwt−1
• Autocorrel tions
• V ri nce is e sy to ind since the v ri bles on the right side re uncorrel ted
2 2 1 + θ2 2
Var(Xt) = γ(0) = Φ γ(0) + (1 + θ )σw2 ⇒ γ(0) = σw
1−Φ 2
• Compute utocov ri nces s in Yule-W lker equ tions
γ(1) = Φγ(11) + θ σw2 γ(12) = Φγ(0) γ(11) = γ(13) = Φγ(1)
Hence
θ θ
γ(1) = Φ2γ(1) + θσw2 ⇒ γ(1) = σw2 and γ(11) = γ(13) = Φ σw2
1−Φ2 1−Φ 2
• Autocorrel tions
θ θ
ρ(1) = γ(1)/γ(0) = and ρ(11) = ρ(13) = γ(11)/γ(0) = Φ
1 + θ2 1+θ 2
In gener l
θ
ρ(12h) = Φh, ρ(12h ± 1) = Φh
, h = 1,2,…
1 + θ2 9
a
a
a
a
a
a
a
a
a
f
a
a
a
a
a
a
Mixed Seasonal ARIMA Model
• Underst nding p tterns in ACF
• Model is
Xt = Φ Xt−12 + wt + θwt−1
• P tterns in ACF
• In inite MA represent tion sheds more light Ex mple 5.12
Figure 5.10
Xt = Xt 12 + wt + ✓wt 1
<latexit sha1_base64="XH5QpuQ7n5M0fboSN3Ns+QICMHI=">AAAC1XicjZFNbxMxEIa9Wz7a8JWWI5cREVVRymY3hJQckCq4cAwSaSLVIfJ63cTKrteyHUq08g1x5cYVfgR/hn+DN1kIqUBiJEsz78z7WKOJZcq1CcMfnr9z7fqNm7t7tVu379y9V98/ONP5QlE2oHmaq1FMNEu5YAPDTcpGUjGSxSkbxvNXZX/4ninNc/HWLCUbZ2Qq+AWnxDhpsu/t4ZhNuSiIUmRpC0VTCzWA0cTA4YtDwP0Zd0VhnkRtC024dHoTsJkxQ1xR6hYwVc5SRmn560hzRTra4NqdNe43ecvw1D6G/8duYVyNj6/AKv1dG/Dx5vuSj5lIqt0n9UYY9MKo9+wE1snzTpV0exAF4SoaqIr+pP4dJzldZEwYmhKtz6NQmrGjGU5TZmt4oZkkdE6m7NylgmRMj4vVzSw8ckoCF7lyTxhYqX86CpJpvcxiN5kRM9NXe6W46XEhF6ZoDbQ7dSvO49ZlruYtSWRZa0NEQlQSGPbB1tyav3aBfydn7SDqBt03ncbpy2rhXfQAPURHKEIn6BS9Rn00QNST3hfvq/fNH/rW/+h/Wo/6XuW5j7bC//wTsdnSsA==</latexit>

= wt + ✓wt 1 + ( Xt 24 + wt 12+ ✓wt 13 )


2
= wt + ✓wt 1 + wt 12 + ✓wt 13 + Xt 24
• Nonzero weights t multiples of se son l period nd
ne r the se son l period
• Nonzero utocorrel tions symmetric round se son l

• PACF
• Condition l utocorrel tions less obvious
• Intuition from non-se son l models
10
a
a
f
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
Seasonal ARIMA, SARIMA
• Not tion
• C pit l letters for the se son l terms, with se son l period S
• Write model using b ckshift not tion
• SARIMA(p,0,q)(P,0,Q)S
(1 − Φ1B S − ⋯ − ΦPB PS)(1 − ϕ1B − ⋯ − ϕpB p)Xt = (1 + Θ1B S + ⋯ + ΘQB QS)(1 + θ1B + ⋯ + θqB p)wt
or in more comp ct form
Φ(B S) ϕ(B) Xt = Θ(B S) θ(B) wt
• Constr ined multiplic tive structure
• SARIMA(1,0,1)(1,0,1)4 (se son l period S=4)
(1 − Φ1B 4)(1 − ϕ1B)Xt = (1 + Θ1B 4)(1 + θ1B)wt
• Equiv lent to ARIMA(5,5) with constr ined estim tes (estim te 4 p r meters, not 10)
(1 − ϕ1B − Φ1B 4 + ϕ1Φ1B 5) Xt = (1 + θ1B + Θ1B 4 + θ1Θ1B 5) wt
• Di erencing De inition 5.13

• SARIMA(p,d,q)(P,D,Q)S llows di erencing Φ(B S)ϕ(B) (1 − B S)D(1 − B)d Xt = Θ(B S)θ(B) wt


11
a
f
ff
a
a
a
a
a
a
a
a
a
a
a
a
ff
a
a
a
a
Example: Births
Ex mple 5.12
a
Example: Mixed Seasonal Model
• Birth series
• Live births, monthly in the US from 1948 - 1979

Post-w r b by boom

How would you h ve


modeled this process
before this cl ss?

13
a
a
a
a
Example: Mixed Seasonal
• Birth series
• Persistent utocorrel tions suggest better to model di erences (non-st tion ry)

14
a
a
Example: Mixed Seasonal
• Birth series
• Month-to-month di erences in the live births, monthly in the US from 1949 - 1979

15
ff
Example: Mixed Seasonal
• P r meters re signi ic nt, but subst nti l utocorrel tion rem ins
• Autocorrel tion in residu ls t l g 12 Interpreting the process l bel in the igure

(1 − ΦB 12) ∇Xt = (1 − θB)wt

16
a
a
a
a
a
f
a
f
a
a
a
Example: Mixed Seasonal
• Exp nd model
• ARMA(1,1) plus se son l ARMA(1,1) (1 − ϕB)(1 − ΦB 12) ∇Xt = (1 − θB)(1 − ΘB 12)wt
• Se son l AR coe icient ne r bound ry of st tion rity

17
a
a
a
a
ff
a
a
a
a
Example: Mixed Seasonal
• Se son l di erence
(1 − ϕB)(1 − B 12) ∇Xt = (1 − θB)(1 − ΘB 12)wt
• Di erence t se son l sp cing r ther th n
it the AR term t se son l sp cing (1 − ϕB) ∇12 ∇Xt = (1 − θB)(1 − ΘB 12)wt

`s rim ` does not provide const nt/me n when


both se son l nd regul r di erencing

18
f
a
ff
a
a
a
a
a
a
a
a
ff
a
a
a
a
ff
a
a
a
a
a
a
a
Example: Forecasts of Live Births
• Non-trivi l extr pol tion
• Contr st to simple forec st evolution with st tion ry nd ARIMA models

19
a
a
a
a
a
a
Example: CO2 Levels
CO2 Levels Ex mple 5.15

• CO2 me sured t M un Lo Observ tory


• Monthly, from M rch 1958 through M rch 2023
• De inition
Dry mole fr ction de ined s the number of
molecules of c rbon dioxide divided by the
number of molecules of dry ir multiplied by
one million (ppm)

• Discussion
• Regul r oscill tion
• F ster growth in l ter d t
• Cert inly non st tion ry

21
a
a
f
a
a
a
a
a
a
a
a
a
f
a
a
a
a
a
a
a
a
a
a
Persistent Seasonality
• Regul r p ttern
• Periodic plot
• Center v lues for 12 months
• Plot versus month.

• Colors
• Dintinguish curves over time
• Viridis p lette
d rk purple -> yellow

• Interpret tion
• Deeper Sep-Oct dip in recent ye rs

22
a
a
a
a
a
a
a
Modeling: Seasonal Differences
• Se son l di erences
• Plot shows (1-B12) Xt
• Evident upw rd trend consistent with
growth r te in initi l sequence plot.

23
a
a
a
a
ff
a
Modeling: Seasonal Differences
• Di erence the se son l di erences
• Plot shows (1-B)(1-B12) Xt
• This second round of di erencing t kes
c re of the ch nging slope noticed in
the origin l sequence plot

• Loess smooth
• Visu lly con irm bsence of trend
• Import nt since `s rim ` will not it
const nt term in presence of two l yers
of di erencing.

24
a
ff
a
ff
a
a
a
f
a
a
a
a
a
ff
a
a
f
a
ff
a
a
Modeling: ACF and PACF
• Model selection
• Plot shows ACF nd PACF of (1-B)(1-B12) Xt
• Could use “se son l version” of the
it_ rm _models function to help choosing
p nd q.

• Comments
• ACF h s l rge terms t l gs 1 nd 12
• PACF shows gr du l dec y t se son l
sp cing nd perh ps t the origin.

• Initi l choice of model?


• SARIMA(0,1,1)(0,1,1)12
(1 − B 12)(1 − B)Xt = (1 − θB)(1 − ΘB 12)wt

25
f
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
a
Modeling: Estimated Model
• Fitted model
• Text dds nother p r meter, but doesn’t dd much.

26
a
a
a
a
a
Predictions
• Comp re to ctu l v lues
• Use d t from 2020-2023 to ev lu te model
• Note the n rrow width of the prediction interv ls
Prediction interv ls for 2020

27
a
a
a
a
a
a
a
a
a
a
a
What’s next?
• More ex mples

• Comp rison to regression se son l models


• Rigid vs luctu ting se son l p tterns
• Incorpor ting c lend r e ects

28
f
a
a
a
a
a
a
a
ff
a
a
a
a

You might also like