A SARIMA model extends an ARIMA model by taking seasonality into account. Such models are expressed as (p, d, q) × (P, D, Q)m. where (p, d, q) are as for an ARIMA model, while (P, D, Q)m express the seasonal autoregressive, integration and moving average components where the seasonality period is m.
Topics
- Seasonality for Time Series
- SARIMA Models
- Example of a SARIMA Model
- SARIMA Forecast Example
- Real Statistics Support
References
Greene, W. H. (2002) Econometric analysis. 5th Ed. Prentice-Hall
https://www.scirp.org/(S(351jmbntvnsjt1aadkposzje))/reference/referencespapers.aspx?referenceid=1243286
Gujarati, D. & Porter, D. (2009) Basic econometrics. 5th Ed. McGraw Hill
http://www.uop.edu.pk/ocontents/gujarati_book.pdf
Hamilton, J. D. (1994) Time series analysis. Princeton University Press
https://press.princeton.edu/books/hardcover/9780691042893/time-series-analysis
Wooldridge, J. M. (2009) Introductory econometrics, a modern approach. 5th Ed. South-Western, Cegage Learning
https://cbpbu.ac.in/userfiles/file/2020/STUDY_MAT/ECO/2.pdf
Hello sir, i want to ask you how to determine the initial Xt value to find the seasonal ACF and pacf lag values?
I hope you can respond to my question.
Thankyou
Hello Riana,
Sorry, but I don’t understand your question. Are you referring to the SARIMA? I don’t know what this has to do with PACF and ACF.
Charles