Selecting an ARIMA model
Using the exponential smoothing method requires that residuals are non-correlated. However, in real-life cases, it is quite unlikely that none of the continuous values correlate with each other. Instead, one can use ARIMA in R to build a time series model that takes autocorrelation into consideration. In this recipe, we introduce how to use ARIMA to build a smoothing model.
In this recipe, we use time series data simulated from an ARIMA process.
How to do it…
Please perform the following steps to select the ARIMA model's parameters:
- First, simulate an ARIMA process and generate time series data with the
> set.seed(123) > ts.sim <- arima.sim(list(order = c(1,1,0), ar = 0.7), n = 100) > plot(ts.sim) ...