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ARIMA model with seasonality
3 messages · Yalla, Swaroop (FID), Jeff Ryan, Nathan Bryant
A good start... at least for TS in general. http://www.stat.pitt.edu/stoffer/tsa2/index.html and more from the magic of google (actually other people hard work) http://www.google.com/search?source=ig&hl=en&rlz=&q=time+series+R&btnG=Google+Search Jeff
On 11/1/07, Yalla, Swaroop (FID) <Swaroop.Yalla at morganstanley.com> wrote:
Hello:
I have a series of monthly data which alos has seasonality, and I was
trying to model it as a seasonal ARIMA model. I wasnt sure how to use
arima function in R to model a seasonal time series (in fact my
knowledge of ARMA model is quite rudimentary). Can someone help me in
this regard, or can point me to some example code or other R resources?
Another question: how far the forecasts from such a model make sense??
thanks
Swaroop
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Before you start, it's best to understand seasonal random walk, seasonal random trend, and seasonal adjustment (for example, with dummy variables.) From my bookmarks-- (this guy rnau is a gold mine) http://www.duke.edu/~rnau/411outbd.htm http://www.duke.edu/~rnau/411seas.htm http://www.duke.edu/~rnau/411seart.htm http://www.duke.edu/~rnau/seasarim.htm
Jeff Ryan wrote:
A good start... at least for TS in general. http://www.stat.pitt.edu/stoffer/tsa2/index.html and more from the magic of google (actually other people hard work) http://www.google.com/search?source=ig&hl=en&rlz=&q=time+series+R&btnG=Google+Search Jeff On 11/1/07, Yalla, Swaroop (FID) <Swaroop.Yalla at morganstanley.com> wrote:
Hello:
I have a series of monthly data which alos has seasonality, and I was
trying to model it as a seasonal ARIMA model. I wasnt sure how to use
arima function in R to model a seasonal time series (in fact my
knowledge of ARMA model is quite rudimentary). Can someone help me in
this regard, or can point me to some example code or other R resources?
Another question: how far the forecasts from such a model make sense??
thanks
Swaroop
--------------------------------------------------------
This is not an offer (or solicitation of an offer) to bu...{{dropped:24}}
_______________________________________________ R-SIG-Finance at stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. -- If you want to post, subscribe first.
_______________________________________________ R-SIG-Finance at stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. -- If you want to post, subscribe first.