Materi Model ARIMA

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MODEL ARIMA

Pendekatan Box-Jenkins

Created by: Lecturer Team at Department of


Statistics, ITS, Surabaya.
Buku Acuan (Referensi Utama) :

1. Hanke, J.E. and Reitsch, A.G. (1995 & 2001)


Business Forecasting, 5th and 7th edition, Prentice Hall.

2. Bowerman, B.L. and O’Connell, R.T. (1993)


Forecasting and Time Series: An Applied Approach,
3rd edition, Duxbury Press: USA.

3. Makridakis, S., Wheelwright, S. C. and Hyndman, R. J. (1998)


Forecasting: Method and Applications, New York: Wiley & Sons.

4. Cryer, J.D. (1986)


Time Series Analysis, Boston: PWS-KENT Publishing Company.

5. Wei, W.W.S. (2006)


Time Series Analysis: Univariate and Multivariate
Methods Addison-Wesley Publishing Co., USA.
Klasifikasi Model Time Series untuk Peramalan
(Berdasarkan Bentuk atau Fungsi dari Model
Matematis)

TIME SERIES MODELS


LINEAR NONLINEAR
Time Series Models Time Series Models

Models from time series theory


ARIMA Box-Jenkins
 nonlinear autoregressive, etc ...

Flexible statistical parametric models


Intervention Model
 neural network model, etc ...

State-dependent, time-varying para-


Transfer Function (ARIMAX)
meter and long-memory models

VARIMA (VARIMAX) Nonparametric models

Models from economic theory

References :
 Timo Terasvirta, Dag Tjostheim and Clive W.J.
Granger, (1994) “Aspects of Modelling
Nonlinear Time Series”
Handbook of Econometrics, Volume IV, Chapter 48.
Edited by R.F. Engle and D.I. McFadden
The Box-Jenkins methodology:

1. Tentative IDENTIFICATION
 historical data are used to tentatively identify an
appropriate ARIMA model.
2. ESTIMATION
 historical data are used to estimate the parameters of
the tentatively identified model.
3. DIAGNOSTIC CHECKING
 various diagnostics are used to check the adequacy of
the tentatively identified model,
 if need be, to suggest an improved model, which is
then regarded as a new tentatively
identified model.
4. FORECASTING
 once a final model is obtained, it is used to forecast
future time series values.
Flow Diagram of Box-Jenkins methodology

 Stationary and non-


stationary time series 
1. Tentative IDENTIFICATION ACF dan PACF
(theoritical)

NO 2. Parameter ESTIMATION  Testing parameters

 White noise of residual


3. DIAGNOSTIC CHECKING  Normal
[ Is the model adequate? ] Distribution of
residual
YES

4. FORECASTING  Forecast calculation


General of Time Series Patterns

Time Series Patterns

Stationer Trend Effect Seasonal Effect Cyclic Effect

 Nonseasonal  Nonseasonal  Seasonal and  Intervention


Stationary models Nonstationary models Multiplicative models models

Theoritical ACF and PACF


Sample Autocorrelation Function (ACF)

For the working series Z1, Z2, …, Zn :


ACF for stationary time series
dies down
(exponential)
1 cuts off 1

0 0
8 Lag k 8 Lag k
no oscillation

-1 -1

dies down dies down


1 (exponential) 1 (sinusoidal)

0 0
8 Lag k 8 Lag k

-1 oscillation -1
Dying down fairly quickly versus extremely slowly

1 Dying down fairly quickly stationary time


series (usually)

0 Lag k
8

-1

Dying down extremely slowly nonstationary time


1 series (usually)

0 Lag k
8

-1
Sample Partial Autocorrelation Function (PACF)

For the working series Z1, Z2, …, Zn : Corr(Zt,Zt-k|Zt-1,…,Zt-k+1)


Calculation of PACF at lag 1, 2 and 3

The sample partial autocorelations at lag 1, 2 and 3


are:
Explanation of ACF … [MINITAB output]

+  +

 t/2 . se(rk)  t/2 . se(rk)


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 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
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
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
Estimation and Testing parameter ARIMA model

t-values and prob-values for testing parameter model ARIMA

Parameters
ARIMA
model estimates
Diagnostic Checking of ARIMA model … [white noise residual]

 Ljung-Box statistic for testing white noise residual

ACF of
residual
Forecasting of ARIMA(p,d,q) model

 Forecasting of AR(1) model

or

 Forecasting of MA(1) model

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