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ARIMA Models in R

Become an expert in fitting ARIMA (autoregressive integrated moving average) models to time series data using R.

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4 Horas13 Videos45 Ejercicios
30.914 AprendicesTrophyDeclaración de cumplimiento

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Descripción del curso

In this course, you will become an expert in fitting ARIMA models to time series data using R. First, you will explore the nature of time series data using the tools in the R stats package. Next, you learn how to fit various ARMA models to simulated data (where you will know the correct model) using the R package astsa. Once you have mastered the basics, you will learn how to fit integrated ARMA models, or ARIMA models to various real data sets. You will learn how to check the validity of an ARIMA model and you will learn how to forecast time series data. Finally, you will learn how to fit ARIMA models to seasonal data, including forecasting using the astsa package.
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  1. 1

    Time Series Data and Models

    Gratuito

    You will investigate the nature of time series data and learn the basics of ARMA models that can explain the behavior of such data. You will learn the basic R commands needed to help set up raw time series data to a form that can be analyzed using ARMA models.

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    First things first
    50 xp
    Data play
    100 xp
    Elements of time series
    50 xp
    Stationarity and nonstationarity
    50 xp
    Differencing
    100 xp
    Detrending data
    100 xp
    Dealing with trend and heteroscedasticity
    100 xp
    Stationary time series: ARMA
    50 xp
    Simulating ARMA models
    100 xp
  2. 2

    Fitting ARMA models

    You will discover the wonderful world of ARMA models and how to fit these models to time series data. You will learn how to identify a model, how to choose the correct model, and how to verify a model once you fit it to data. You will learn how to use R time series commands from the stats and astsa packages.

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  3. 3

    ARIMA Models

    Now that you know how to fit ARMA models to stationary time series, you will learn about integrated ARMA (ARIMA) models for nonstationary time series. You will fit the models to real data using R time series commands from the stats and astsa packages.

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En las siguientes pistas

Analista cuantitativo con RSeries temporales con R

Colaboradores

Collaborator's avatar
Lore Dirick
Collaborator's avatar
Matt Isaacs

Requisitos Previos

Time Series Analysis in R
David Stoffer HeadshotDavid Stoffer

Professor of Statistics at the University of Pittsburgh

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