Week 8: ARIMA models

Week 8

Fit and compare AR, MA, ARMA, and ARIMA models using both manual and automatic approaches.

Quiz highlight

Week 8 quiz

Due Wednesday 29 April

Quiz links switch with your selected course, so this stays as the main weekly action.

Open ETF3231 quizOpen ETF5231 quiz
Prepare before class

Read Sections 9.3 to 9.8 of FPP3 and be ready to compare different ARIMA specifications.

Seminar and workshop

Wednesday 29 April · Seminar 3:00pm to 3:50pm, workshop 4:00pm to 4:50pm · Building K Level 3, K321

Focus
  • AR, MA, ARMA, and ARIMA structure
  • Manual versus automatic order selection
  • Forecast comparison across candidate models
Assessment

Week 8 quiz on Wednesday 29 April

Week 8 quiz on Wednesday 29 April

Workshop ActivitiesSlides PDFFPP3 Chapter 9Recordings

What you will learn this week

  • AR, MA, ARMA and ARIMA models
  • Selecting model orders manually and automatically

Pre-class activities

Read Sections 9.3-9.8 of the textbook and watch all embedded videos

Tutorial exercises

NoteTutorial Learning Objectives
  1. 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.
  2. 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.
  3. Translate between model equations and ARIMA notation.
    • Recognise ARIMA model equations in algebraic form and correctly express them using ARIMA (p,d,q) notation.

Assignments

  • GA3 is due on Tuesday 05 May.
  • IA4 is due on Friday 15 May.

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