ARIMA - समेकित ARMA
R में ARIMA मॉडल्स
David Stoffer
Professor of Statistics at the University of Pittsburgh
ARIMA की पहचान
- यदि differenced डेटा में ARMA व्यवहार हो, तो time series में ARIMA व्यवहार होता है
# 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)")
Integrated ARMA की ACF और PCF
x <- arima.sim(list(order = c(1, 1, 0), ar = .9), n = 200)
acf2(x)
Differenced ARIMA की ACF और PCF
x <- arima.sim(list(order = c(1, 1, 0), ar = .9), n = 200)
acf2(diff(x))
Differenced ARIMA की ACF और PCF
x <- arima.sim(list(order = c(1, 1, 0), ar = .9), n = 200)
acf2(diff(x))
साप्ताहिक Oil Prices
साप्ताहिक Oil Prices
ARIMA(1, 1, 1)जैसा लग रहा है
