Tag Archives: arima

ARIMA-model-based decomposition of time series in R
The tsdecomp R package

I have recently submitted a new package to CRAN. The tsdecomp package performs ARIMA-model-based 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

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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

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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

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