Week 7: ARIMA models

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.

Tutorial exercises

NoteTutorial Learning Objectives

1. Diagnose non-stationarity
   • Able to interpret time plots.
   • Able to use ACF, and PACF to identify non-stationary behaviour and justify the need for differencing.
2. Determine appropriate transformations and differencing orders.
   • Select suitable Box–Cox transformations and apply the correct order of regular and/or seasonal differencing to achieve stationarity.
3. Express differencing using backshift operator notation.
   • Write the chosen regular and/or seasonal differencing operations formally using backshift notation

• Complete Exercise 2-5 from Section 9.11 of the book

Assignments

• IA3 is due on Friday 24 April.
• GA3 is due on Tuesday 05 May.