Week 7: ARIMA models

Tutorial exercises

• Complete Exercises 5, 7, 11, 14 from Section 8.8 of the book.
• Tutorial learning objectives.

What you will learn this week

• Stationarity and differencing
• Random Walk Models

Pre-seminar activities

Read Sections 9.1-9.2 of the textbook and watch all embedded videos.

Lectorial activities

1. What sorts of transformations and differencing are needed to make the Cement series from aus_production stationary? Do the tests agree with your decisions?

2. Generate the a10 and the h02 series from the PBS tsibble we explored earlier using the code below.

   a10 <- PBS |>
     filter(ATC2 == "A10") |>
     summarise(Cost = sum(Cost))
   
   h02 <- PBS |>
     filter(ATC2 == "H02") |>
     summarise(Cost = sum(Cost))

   What are the features of these series in terms of stationarity and what operations do you need to take to turn them into stationary series.

3. Explore the the Algerian exports series from the global_economy tsibble. Is the series stationary? Is the series white noise?

4. Exam 2023

   • Section A: Q2, Q3
   • Section B: Q1, Q2, Q3 (a-f)
   • Section C: all questions

Seminar code

week7.R

Assignments

• GA2 is due on Monday 20 April.
• IA3 is due on Monday 04 May.

Weekly quiz

• Week 7 quiz is due on Monday 20 April.