Lab: ARIMA(p,d,q) Model Fitting

Getting Started

Start R

R function: arima, tsdiag, arima.sim

> help(diff)

Example 1: Dow Jones Data

Let's look at sample code in dow.ex.r

What type of transformation seems to make the time series stationary?

Example 2: Model Identification and Fitting

Simulate and fit ARIMA(2,1,2)

Let's look at sample code in arimasim.r

How well did the model fit the data?

What are the estimated parameters?

Example 3: Reading in data into R from a file

There is time series data in a file test.series

You can use the scan and ts R commmands to read and make your data an object of class time series.

> test <- scan("http://www.rohan.sdsu.edu/~babailey/stat496/test.series")
> test.ts <- ts(test)

Now, you can make all the appropriate time series plots!
What model would you fit to the data?

Here's a new R function called auto.arima, but we should be wary of any function that is "automatic"!

Below is the description link that you can copy and paste into your browser:

https://www.otexts.org/fpp/8/7

I do like the section on Modelling Procedure, so please check that out!

Example 4: Luteinizing Hormone Data

> help(lh)

Let's look at the sample code in lh1.r

What models would you try to fit?

Let's look at the sample code in lh2.r

Which is the best model?

For a more complete dataset: diggle