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Modul 6. ARIMA Box-Jenkins Part 2

This document discusses time series forecasting techniques, including: 1. The ARIMA (Box-Jenkins) model for identifying stationary time series, estimating ARIMA models, diagnostic checking, and forecasting. 2. A case study on the ARIMAX model (intervention analysis, transfer functions, and neural networks). 3. The theoretical autocorrelation (ACF) and partial autocorrelation (PACF) functions of ARIMA models including MA, AR, and ARMA structures.

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Muhammad Arief Fatkhurrahman
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473 views

Modul 6. ARIMA Box-Jenkins Part 2

This document discusses time series forecasting techniques, including: 1. The ARIMA (Box-Jenkins) model for identifying stationary time series, estimating ARIMA models, diagnostic checking, and forecasting. 2. A case study on the ARIMAX model (intervention analysis, transfer functions, and neural networks). 3. The theoretical autocorrelation (ACF) and partial autocorrelation (PACF) functions of ARIMA models including MA, AR, and ARMA structures.

Uploaded by

Muhammad Arief Fatkhurrahman
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PPT, PDF, TXT or read online on Scribd
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Teknik Peramalan: Materi minggu kedelapan

 Model ARIMA Box-Jenkins


 Identification of STATIONER TIME SERIES
 Estimation of ARIMA model
 Diagnostic Check of ARIMA model
 Forecasting

 Studi Kasus : Model ARIMAX (Analisis Intervensi,


Fungsi Transfer dan Neural Networks)
General Theoretical ACF and PACF of ARIMA Models

Model ACF PACF


MA(q): moving average of order q Cuts off Dies down
after lag q
AR(p): autoregressive of order p Dies down Cuts off
after lag p
ARMA(p,q): mixed autoregressive- Dies down Dies down
moving average of order (p,q)
AR(p) or MA(q) Cuts off Cuts off
after lag q after lag p
No order AR or MA No spike No spike
(White Noise or Random process)
Theoretically of ACF and PACF of The First-order
Moving Average Model or MA(1)

The model
Zt =  + at – 1 at-1 , where  = 
 Invertibility condition : –1 < 1 < 1

Theoretically of ACF Theoretically of PACF


Theoretically of ACF and PACF of The First-order
Moving Average Model or MA(1) … [Graphics illustration]

ACF PACF

ACF PACF
Simulation example of ACF and PACF of The First-
order Moving Average Model or MA(1) … [Graphics illustration]
Theoretically of ACF and PACF of The Second-order
Moving Average Model or MA(2)

The model
Zt =  + at – 1 at-1 – 2 at-2 , where  = 
 Invertibility condition : 1 + 2 < 1 ; 2  1 < 1 ; |2| < 1

Theoretically of ACF Theoretically of PACF

Dies Down (according to a


mixture of damped exponentials
and/or damped sine waves)
Theoretically of ACF and PACF of The Second-order
Moving Average Model or MA(2) … [Graphics illustration] … (1)

ACF PACF

ACF PACF
Theoretically of ACF and PACF of The Second-order
Moving Average Model or MA(2) … [Graphics illustration] … (2)

ACF PACF

ACF PACF
Simulation example of ACF and PACF of The Second-order
Moving Average Model or MA(2) … [Graphics illustration]
Theoretically of ACF and PACF of The First-order
Autoregressive Model or AR(1)

The model
Zt =  + 1 Zt-1 + at , where  =  (1-1)
 Stationarity condition : –1 < 1 < 1

Theoretically of ACF Theoretically of PACF


Theoretically of ACF and PACF of The First-order
Autoregressive Model or AR(1) … [Graphics illustration]

ACF PACF

ACF PACF
Simulation example of ACF and PACF of The First-
order Autoregressive Model or AR(1) … [Graphics illustration]
Theoretically of ACF and PACF of The Second-order
Autoregressive Model or AR(2)

The model
Zt =  + 1 Zt-1 + 2 Zt-2 + at, where  = (112)
 Stationarity condition : 1 + 2 < 1 ; 2  1 < 1 ; |2| < 1

Theoretically of ACF Theoretically of PACF


Theoretically of ACF and PACF of The Second-order
Autoregressive Model or AR(2) … [Graphics illustration] … (1)

ACF PACF

ACF PACF
Theoretically of ACF and PACF of The Second-order
Autoregressive Model or AR(2) … [Graphics illustration] … (2)

ACF PACF

ACF PACF
Simulation example of ACF and PACF of The Second-order
Autoregressive Model or AR(2) … [Graphics illustration]
Theoretically of ACF and PACF of The Mixed Autoregressive-
Moving Average Model or ARMA(1,1)

The model
Zt =  + 1 Zt-1 + at  1 at-1 , where  =  (11)
 Stationarity and Invertibility condition : |1| < 1 and |1| < 1

Theoretically of ACF Theoretically of PACF

Dies Down (in fashion


dominated by damped
exponentials decay)
Theoretically of ACF and PACF of The Mixed Autoregressive-
Moving Average Model or ARMA(1,1) … [Graphics illustration] … (1)

ACF PACF

ACF PACF
Theoretically of ACF and PACF of The Mixed Autoregressive-
Moving Average Model or ARMA(1,1) … [Graphics illustration] … (2)

ACF PACF

ACF PACF
Theoretically of ACF and PACF of The Mixed Autoregressive-
Moving Average Model or ARMA(1,1) … [Graphics illustration] … (3)

ACF PACF

ACF PACF
Simulation example of ACF and PACF of The Mixed Autoregressive-
Moving Average Model or ARMA(1,1) … [Graphics illustration]

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