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ARIMAmodelbased decomposition of time series in R
The tsdecomp R package
I have recently submitted a new package to CRAN. The tsdecomp package performs ARIMAmodelbased decomposition of time series data. It is intended mainly for annual, quarterly and monthly time series. Upon an ARIMA model fitted to the observed data, the … Continue reading
The role of exogenous and lagged variables in ARIMA and linear regression models
The comparison of an autoregressive model with exogenous regressors and the linear regression model is a recurrent question at Cross Validated. The question often arises when an autoregressive model with exogenous variables is fitted as a linear regression model with … Continue reading
Does a seasonal ARIMA model involve seasonality?
The question posed in the title may seem a tautology, but it’s not. If an ARIMA model (chosen by any manual or automated procedure) contains lags of seasonal order, it does not necessarily mean that there is a relevant seasonal … Continue reading