Week 7: ARIMA models

Week 7

Begin ARIMA with stationarity, differencing, and random walk style models.

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Week 7 quiz

Due Wednesday 22 April

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Open ETF3231 quizOpen ETF5231 quiz
Prepare before class

Read Sections 9.1 to 9.2 of FPP3 and review the idea of stationarity before the workshop.

Seminar and workshop

Wednesday 22 April · Seminar 3:00pm to 3:50pm, workshop 4:00pm to 4:50pm · Building K Level 3, K321

Focus
  • Stationarity and differencing
  • Random walks and persistence
  • When ARIMA modelling becomes useful
Assessment

Week 7 quiz on Wednesday 22 April · IA3 on Friday 24 April

Week 7 quiz on Wednesday 22 April · IA3 on Friday 24 April

Workshop ActivitiesSlides PDFFPP3 Chapter 9Recordings

What you will learn this week

  • Stationarity and differencing
  • Random Walk Models

Pre-class 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

Assignments

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

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