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R Language
Arima Models

93
Contributors: 2
Saturday, July 23, 2016

Licensed under: CC-BY-SA

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The `Arima`

function in the forecast package is more explicit in how it deals with constants, which may make it easier for some users relative to the `arima`

function in base R.

ARIMA is a general framework for modeling and making predictions from time series data using (primarily) the series itself. The purpose of the framework is to differentiate short- and long-term dynamics in a series to improve the accuracy and certainty of forecasts. More poetically, ARIMA models provide a method for describing how shocks to a system transmit through time.

From an econometric perspective, ARIMA elements are necessary to correct serial correlation and ensure stationarity.