Week 8: ARIMA models
What you will learn this week
- AR, MA, ARMA and ARIMA models
- Selecting model orders manually and automatically
Pre-seminar activities
Read Sections 9.3-9.8 of the textbook and watch all embedded videos
Tutorial exercises
NoteTutorial Learning Objectives
- Fit and compare ARIMA forecasting models.
- Able to use ARIMA() (with transformations where needed) to select an appropriate model, generate forecasts, and compare them against alternative specified ARIMA structures.
- Evaluate model adequacy using residual diagnostics.
- Check whether ARIMA model residuals resemble white noise (including examining autocorrelation in residuals) and use this evidence to refine or justify model choice.
- Translate between model equations and ARIMA notation.
- Recognise ARIMA model equations in algebraic form and correctly express them using ARIMA (p,d,q) notation.
- Complete Exercises 7, 8, 15 (a to c), 16 (a to c) from Section 9.11 of the book.