ARIMA - ARMA terintegrasi

Model ARIMA di R

David Stoffer

Professor of Statistics at the University of Pittsburgh

Mengidentifikasi ARIMA

Deret waktu berperilaku ARIMA jika data yang didiferensiasi berperilaku ARMA

# Simulation  ARIMA(p = 1, d = 1, q = 0)
x <- arima.sim(list(order = c(1, 1, 0),  ar = .9), n = 200)
plot(x, main = "ARIMA(p = 1, d = 1, q = 0)")
plot(diff(x), main = "ARMA(p = 1, d = 0, q = 0)")

ch3_1.012.png

ACF dan PACF ARMA Terintegrasi

x <- arima.sim(list(order = c(1, 1, 0),  ar = .9), n = 200)
acf2(x)

ch3_1.015.png

ACF dan PACF ARIMA yang Didiferensiasi

x <- arima.sim(list(order = c(1, 1, 0),  ar = .9), n = 200)
acf2(diff(x))

ch3_1.018.png

ACF dan PACF ARIMA yang Didiferensiasi

x <- arima.sim(list(order = c(1, 1, 0),  ar = .9), n = 200)
acf2(diff(x))

ch3_1.019.png

Harga Minyak Mingguan

ch3_1.021.png

Harga Minyak Mingguan

ch3_1.022.png

Tampak seperti ARIMA(1, 1, 1)

Ayo berlatih!

Model ARIMA di R