Questions tagged [arima]

arima (autoregressive integrated moving average.) It's a model used in data science to measure events that happen over a period of time. The model is used to understand past data or predict future data in time series.

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9 views

Applicability of ARIMA model on non stationary data

I have a time series dataset that does not have the stationary property. The dataset is monotonically increasing or sometimes showing no change over periods of time. Can I apply the ARIMA model to ...
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20 views

How to handle multi time series data for 10K + items

There are 50 shops and each shop have 30000 items. Goal is to forecast the sale of item based on shop. Forecase the item_cnt_day, for this i dont see this as multi ...
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25 views

How to revert np.log(data) and data.diff()?

I have used np.log(data) and then applied data.diff() to transform my data in timeseries model. I have the predictions. How do I ...
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11 views

How to train ARIMA model on multiple similar time series?

I am having 'business potential' values of 4000 cities (having generic names to ensure anonymity) for 72 months. The data for an individual city is just 72 months so I clustered the entire dataset ...
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17 views

Does this ARIMA model take seasonality into account?

I'm writing a tutorial on traditional time series forecasting models. One key issue with ARIMA models is that they cannot model seasonal data. So, I wanted to get some seasonal data and show that the ...
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10 views

Two ARMA processes with Regime Shift

Given a time series that is a blend of two ARMA(p, q) processes with a Markov process switching back and forth between the two, what would be the way to estimate the parameters? Is there a standard ...
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2answers
37 views

How can we make forecasts from stationary data

I'm confused about the concept of stationarity. Most definitions require the mean and Variance to be constant 'over any interval'. This statement confuses me, if any interval should have the same mean ...
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7 views

Trouble with Model evaluation comparing ARIMA and VAR

I keep getting an error code when I'm using the Model evaulation to compare ARIMA and VAR models. I input my data using excel and I connected the data table to Time series. Can someone help? Thank you!...
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16 views

How to compare different forecasting models over different time horizon?

Developed multiple Models with AR, ARIMA, VAR; LSTM , SARIMA. Now, the purpose is to find out which model performs best on a given use case with different time horizons. The time series data is ...
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437 views

Grouped Time Series forecasting with scikit-hts

I am trying to forecast sales for multiple time series I took from kaggle's Store item demand forecasting challenge. It consists of a long format time series for 10 stores and 50 items resulting in ...
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20 views

What are more advanced techniques than ARIMA?

For timeseries predication cases, what other techniques are available in statistics or machine/deep learning other than MA (moving average), ARMA, and ARIMA?
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Sarimax fit for prediction further into future

I want to fit sarimax model of statsmodels so that it is optimized for predicting into future not just the next sample. Let's say predicting 5 time steps ahead. I can do this by model.forecast(5) but ...
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Selecting the best model parameters from grid search SARIMA [Time series]

I ran a manual gridsearch of SARIMA across several parameters and now I have 7875 rows of scores (RMSE, MAE, MAPE each) from it. These were the parameters (30k+ permutations) I ran a grid search over- ...
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ML model to forecast time series data

This question has three sub-parts, answering each of which probably doesn't require huge text. I hope that is okay. I'm trying to understand time series prediction using ML. I have the target variable ...
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1answer
77 views

How to know if a time series sequence is predictibale or just random (Univariate time series prediction)?

I'm trying to predict a current value of a variable based on the its previous 10 values. I tried multiple time series approaches including ARIMA, LSTM and linear regression... None of them really ...
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20 views

Best approach for univariate time series predictions?

I have a univariate time series. where I'm trying to predict a current value of a variable based on the previous 10 values of the same variable. I tried three approaches: 1- linear regression where I ...
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1answer
55 views

First Differencing to remove seasonality and trends

I am trying to remove seasonality and trends from my time series data. I found this post that said to use df_diff = df.diff().diff(12).dropna() (https://www.tobiolabode.com/blog/2020/12/30/how-to-...
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21 views

Choosing correct Period for SARIMA on a 4 month (120 day observation) dataset

I'm testing SARIMA on the first 4 months (observations are in days, total 120 days) of this dataset: https://api.covidtracking.com/v1/states/ny/daily.cs I'm not sure what value I should assign to the ...
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Is it mandatory to have a DateTime index for a pandas dataframe to run ARIMA models on it?

I'm trying to learn about Arima models. In every tutorial, the Dataframe considered has a DateTime index. When I looked upon the mathematical formula for Arima model, it only depends on the past ...
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26 views

Predict the first observations of a time series when order of the model is higher

Suppose you have you have a time series with 365 observations, one for each day of the year, and you split the first 183 rows in training set and the latest 182 in test set. Suppose you create an AR (...
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How can i find the accurcy for time series? [closed]

I have to work for the first time with time series and I have some question about this interesting field of machine learning. What I have to do: I should make a forecast for quantity for some special ...
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1answer
557 views

Python: SARIMAX Model Fits too slow

I have a time series data with the date and temperature records of a city. Following are my observations from the time series ...
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23 views

How to determine my pacf and acf in ARIMA with daily time series data?

I have daily time series data for revenue sales ranging from 2018-04-01 to 2021-02-19. I want to implement an ARIMA model and the plot of the data looks like this: Based on my augmented-dickey fuller ...
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Box Jenkins, ADF and KPSS tests on a time series

this is my first question I have the growth from Ecuadors GDP from 2000 to 2025 (Annually) and I have to predict Ecuadors GDP growth from 2026 to 2030 taking into account: Ecuadors GDP Growth ...
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11 views

Why is my data not showing valid autocorrelation?

So i was following a kaggle notebook on weather prediction using ARIMA/SARIMA (here). I implemented the steps to look for autocorrelation on my dataset and found that the graph is in very strange ...
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Is there a way to pass new data to fitted ARIMA model to get predictions or I need to retrain it every time?

Is there a way to pass new data to fitted ARIMA model to get predictions or I need to retrain it every time? I need to put to production and see how it trades in real life.
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1answer
543 views

ARIMA training super slow

I am fitting ARIMA model (from statsmodels) on 20 000 elements dataset on a 24 CPU 200+GB RAM cloud server for over 24 hours now. It loads all the CPU's. But It takes so long... Is it how it works or ...
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18 views

ARIMA d Parameter and Explicit Differencing

Can I use only d parameter for ARIMA instead of applying differencing to data before training and applying inverse transform to forecasts in order to get them into original scale? Do libraries like ...
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108 views

AR coefficients are not stationary

I have a timeseries data and I want to forecast it by applying ARIMA. After reading data, I decomposed it to analyze its components and get an idea whether it is stationary or not. It seems there is ...
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106 views

auto_arima results summary (intercept?)

I ran auto_arima on my model from the library pmdarima and I'm trying to interpret the results printed to the console. I see two examples of similar parameters that yield different results: ARIMA(0,1,...
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241 views

Narrow confidence Interval of forecast

I am new to data science so please accept my apology in advance. I am trying to predict the value using ARIMA. I have got weekly value for the current year. Based on the available weekly values, I ...
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2answers
330 views

Time series forecast for small data set

I am new in data science so please accept my apology in advance if my question sounds stupid. I want to do a time series forecast of outage mins in the current regulatory year. The regulatory year ...
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3answers
2k views

Best common metric for comparing classic time series forecasting methods (ARIMA/Prophet) with ML approach?

I am new to time series forecasting and looking to compare the performance of ARIMA/Prophet with an XGBoost model in predicting future stock market values based on historical stock market data and ...
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1answer
49 views

Time series forecast for everyday for till a distant future

I have time-series data for every single day from the last 5 years with seasonal variation and a general increase in trend. This is what my data looks like: And I am trying to predict for every ...
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Ljung-box test on weekly percentage of total quarter bookings

I have a data on the weekly percentage of the total quarter bookings. The data looks as follows (note: weekly percentages add up to 100 for each quarter) : (not real data) I used the Ljung-box test ...
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2answers
94 views

High error Arima model - Python

I have a time series data. It has daily frequency. I want to forecast the data for the next week or month with an ARIMA model. This is a chart of my time series data: First I use the method ...
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18 views

How to automate Seasonal Arima?

I am building Seasonal Arima for more than 10k products. In all the tutorials and blogs mentioned, I need to do the exploration to find the p,d,q values along with seasonality value using the ...
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59 views

Understanding lag plot ,ACF plot and auto-correlation plots

I have a data-frame of 2809 rows which is an unevenly spaced time-series ...
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1answer
59 views
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182 views

ARIMA: How to understand performance of the model?

I am new to use of ARIMA model and after working on it for a couple of days and doing research - I'm not sure how to interpret the performance of my model... Here is what the ...
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1answer
103 views

Choosing the periodicity in a SARIMA model

Given the order (P,D,Q,s) of a SARIMA model, s is an integer representing the number of periods in a season. Intuitively, I suppose it would be 12 for monthly data ...
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1answer
29 views

Why is my prediction using ARIMA better if I'm using less historic data?

I have a data set containing hourly electricity prices for since 1.01.19 until September. Since the process turned out to be (weakly) stationary, I applied an ARIMA model in Python in order to predict ...
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2answers
5k views

Forecasting via LSTM or XGBoost... is it really a forecast or

I guess I understand the idea of predictions made via LSTM or XGBoost models, but want to reach out to the community to confirm my thoughts. This tutorial does a nice job explaining step by step of ...
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1answer
6k views

XGBoost vs ARIMA for Time Series analysis

Doing time series analysis, I have doubts on choosing the right model. I want to predict the next 30 mins window, from the input dataset which contains the no. of error count for that particular 1 min ...
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1answer
72 views

How to measure/rate the effect of a exogenous covariate in a ARIMAX Model?

I have an ARIMA model, I'm trying to figure out how much an external variable (exogenous covariate) could improve the forecast, so I need to "synthesize" a rate that tell me the usefulness (or impact) ...
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1answer
1k views

Categorical variable for Arima

Does Arima support the usage of categorical variable? Some ways to get it working can be using one-hot encoding to represent categorical variables, but I am not sure how good it is.
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362 views

Why MA model order is from acf but not pacf

For MA model in Arima, why the order references acf, but not pacf? The emphasize is why not PACF. In https://towardsdatascience.com/significance-of-acf-and-pacf-plots-in-time-series-analysis-...