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ARIMA Box-Jenkins 3rd

The document discusses time series forecasting using the ARIMA model including identification of stationary time series, estimation of ARIMA parameters, diagnostic checking of the model, and forecasting. It provides examples and case studies on ARIMA and ARIMAX models and shows output from MINITAB for identification, estimation, diagnostic checking and forecasting steps.

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raniinda6
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28 views16 pages

ARIMA Box-Jenkins 3rd

The document discusses time series forecasting using the ARIMA model including identification of stationary time series, estimation of ARIMA parameters, diagnostic checking of the model, and forecasting. It provides examples and case studies on ARIMA and ARIMAX models and shows output from MINITAB for identification, estimation, diagnostic checking and forecasting steps.

Uploaded by

raniinda6
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© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Peramalan Time Series: ARIMA …

 Model ARIMA Box-Jenkins


 Identification of STATIONER TIME SERIES
 Estimation of ARIMA model
 Diagnostic Check of ARIMA model
 Forecasting

 Studi Kasus : Model ARIMAX (Analisis Intervensi,


Fungsi Transfer dan Neural Networks)

1
Estimation and Testing parameter ARIMA model

t-values and prob-values for testing parameter model ARIMA

Parameters ARIMA
model estimates

2
Diagnostic Checking of ARIMA model … [white noise residual]

 Ljung-Box statistic for testing white noise residual

ACF of residual

3
Forecasting of ARIMA(p,d,q) model

 Forecasting of AR(1) model

or

 Forecasting of MA(1) model

4
Example: Daily readings of viscosity of Chemical
Product XB-77-5 [Bowerman and O’Connell, pg. 471]

5
Example: IDENTIFICATION step [stationary, ACF and PACF]

Stationer time series

ACF PACF

Dies down [sinusoidal] Cuts off after lag 2

6
Example: ESTIMATION and DIAGNOSTIC CHECK step

Estimation
and Testing
parameter

Diagnostic
Check (white
noise residual)

7
Example: DIAGNOSTIC CHECK step … [Normality test of residuals]

8
Example: FORECASTING step [MINITAB output]

9
Calculation: FORECASTING (FITS and FORECAST) [continued]

10
MINITAB command: IDENTIFICATION Step

Plot Data
 stationarity data

ACF & PACF data


 to find tentative
ARIMA model

11
IDENTIFICATION Step: Time Series Plot …

12
IDENTIFICATION Step: ACF data …

13
IDENTIFICATION Step: PACF data …

14
MINITAB command: ESTIMATION, DIAGNOSTIC
CHECK & FORECASTING Step

Estimation, Diagnostic
Check and Forecasting

15
MINITAB command: Normality test for residual

16

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