Materi Model ARIMA
Materi Model ARIMA
Materi Model ARIMA
Pendekatan Box-Jenkins
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
0 0
8 Lag k 8 Lag k
no oscillation
-1 -1
0 0
8 Lag k 8 Lag k
-1 oscillation -1
Dying down fairly quickly versus extremely slowly
0 Lag k
8
-1
0 Lag k
8
-1
Sample Partial Autocorrelation Function (PACF)
+ +
The model
Zt = + at – 1 at-1 , where =
Invertibility condition : –1 < 1 < 1
The model
Zt = + 1 Zt-1 + at , where = (1-1)
Stationarity condition : –1 < 1 < 1
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 = (11)
Stationarity and Invertibility condition : |1| < 1 and |1| < 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
Parameters
ARIMA
model estimates
Diagnostic Checking of ARIMA model … [white noise residual]
ACF of
residual
Forecasting of ARIMA(p,d,q) model
or
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