Sumários
Model evaluation and selection
24 Abril 2019, 10:00 • Nuno Paulo De Sousa Arrobas Crato
Review of the SARIMA model, equivalence between SARMA and ARMA with parameter restrictions
Minimum MSE linear forecasts for ARMA and ARIMA models
Box-Jenkins identification method
Diagnostic checking - whiteness of the residuals
Criteria for model comparison: AIC, AICc, and SIC
Forecasting error measures: MPE, MSE, RMSE, MAE, and MAPE
Unit roots and seasonality
10 Abril 2019, 10:00 • Nuno Paulo De Sousa Arrobas Crato
Box-Cox transformation
Unit roots
Seasonality
Group constituition
ARIMA models
29 Março 2019, 10:00 • Nuno Paulo De Sousa Arrobas Crato
Trend stationary and difference stationary models
ARIMA processes
ARIMA Models
29 Março 2019, 10:00 • Nuno Paulo De Sousa Arrobas Crato
Different types of nonstationarity