Talk:Autoregressive integrated moving average

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I removed the "too technical" tag. Feel free to reinsert it, but please leave some comments as to what you think needs explanation (along with some suggested fixes if you can). Thanks, Lunch 22:13, 22 October 2006 (UTC)

[edit] Redirect from "integrated of order zero"

This redirect seems totally inapropriate, I haven't removed the redirect because i dont know how.

[edit] Definition of ARIMA

You say that "an ARIMA(p,d,q) process is obtained by integrating an ARMA(p,q) process"

How bout random walk: xt=x(t-1)+et? Xt is an ARMA(1,0) process. but if you integrate it order 1, you get: xt-x(t-1)=et with is ARMA(0,0).

The standard definition seems to be this: Lecture Notes (pg2), which i've seen in several places

I.e. xt is ARIMA(p,d,q) if (1-L)^d is ARMA (p,q). Thus xt in the random walk example above is ARMA(1,0) or ARIMA(0,1,0) because once integrated you get an ARMA(0,0)

Anyone agree? If so, then i think the wiki page is confusing and needs somehow to be changed.

ALSO, i think we need to include ARIMA in the title which would help find it in a search.

Shades9662 23:12, 29 December 2006 (UTC)

On another note, maybe we should add that after differencing, if any of the new phi's (for the AR process) is equal to 0, i.e. the original phi was 1, then this will produce an AR(p-1) process after first differencing, for example. leading to ARIMA(p-1,1,0). On a side note: the reason why I'm still proposing/discussing more than editing is because I'm still new to all this. Shades9662 23:36, 29 December 2006 (UTC)

[edit] Implementation

I'd appreciate some reference as to how one actually computes solutions to an ARIMA model given data. dfrankow (talk) 20:36, 5 May 2008 (UTC)