Week 9: ARIMA models

Week 9

Move from basic ARIMA to seasonal ARIMA and compare ARIMA forecasts against ETS alternatives.

Quiz highlight

Week 9 quiz

Due Wednesday 06 May

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 9.8 to 9.10 of FPP3 and focus on how seasonal ARIMA extends the earlier material.

Seminar and workshop

Wednesday 06 May · Seminar 3:00pm to 3:50pm, workshop 4:00pm to 4:50pm · Building K Level 3, K321

Focus

• Seasonal ARIMA structure
• Generating and interpreting ARIMA forecasts
• Comparing ARIMA and ETS

Assessment

Week 9 quiz on Wednesday 06 May

GA3 on Tuesday 05 May · Week 9 quiz on Wednesday 06 May

Workshop ActivitiesSlides PDFFPP3 Chapter 9Recordings

What you will learn this week

• Seasonal ARIMA models
• Computing forecasts for ARIMA models
• ARIMA vs ETS models

Pre-class activities

Read Sections 9.8-9.10 of the textbook and watch all embedded videos

Tutorial exercises

NoteTutorial Learning Objectives

1. Develop and evaluate seasonal ARIMA models.
   • Able to transform/difference seasonal series, fit and diagnose competing ARIMA models, and produce forecasts (including comparing against ETS and STL-adjusted approaches).
2. Compute ARIMA-based forecasts manually.
   • Able to use a specified ARIMA model equation and estimated parameters to hand-calculate multi-step forecasts, then fit the same model in R and explain differences between manual and software forecasts.

• Complete Exercises 11, 12, 13, 15 (d,e), 16 (d,e) from Section 9.11 of the book.

Assignments

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

Weekly quiz

• Week 9 quiz: Open ETF3231 quiz Open ETF5231 quiz — Due Wednesday 06 May.