SARIMA and Box-Jenkins

ARIMA Models in Python

James Fulton

Climate informatics researcher

Box-Jenkins

Box-Jenkins with seasonal data

• Determine if time series is seasonal
• Find seasonal period
• Find transforms to make data stationary
  • Seasonal and non-seasonal differencing
  • Other transforms

Mixed differencing

• D should be 0 or 1
• d + D should be 0-2

Weak vs strong seasonality

• Weak seasonal pattern
• Use seasonal differencing if necessary

• Strong seasonal pattern
• Always use seasonal differencing

Additive vs multiplicative seasonality

• Additive series = trend + season
• Proceed as usual with differencing

• multiplicative series = trend x season
• Apply log transform first - np.log

Multiplicative to additive seasonality

Let's practice!

ARIMA Models in Python