Forecasting seasonal ARIMA

ARIMA Models in R

David Stoffer

Professor of Statistics at the University of Pittsburgh

Forecasting ARIMA Processes

  • Once model is chosen, forecasting is easy because the model describes how the dynamics of the time series behave over time
  • Simply continue the model dynamics into the future
  • In the astsa package, use sarima.for() for forecasting
ARIMA Models in R

Forecasting Air Passengers

  • In the previous video, we decided that a

SARIMA$(0,1,1) \times (0,1,1)_{12}$ model was appropriate

sarima.for(log(AirPassengers), n.ahead = 24, 
           0, 1, 1, 0, 1, 1, 12)

ch4_3.007.png

ARIMA Models in R

Let's practice!

ARIMA Models in R

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