intro to arma models - github pages 2/lec_03_arma... · autoregressive integrated moving average...
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Intro to ARMA modelsFISH 507 – Applied Time Series Analysis
Mark Scheuerell
15 Jan 2019
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Topics for today
Review
Autoregressive (AR) models
Moving average (MA) models
Autoregressive moving average (ARMA) models
Using ACF & PACF for model ID
White noise
Random walks
·
·
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White noise (WN)
A time series is discrete white noise if its values are
The distributional form for is flexible
1. independent
2. identically distributed with a mean of zero
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White noise (WN)
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Gaussian white noise
We often assume so-called Gaussian white noise, whereby
and the following apply as well
autocovariance:
autocorrelation:
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Gaussian white noise
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Random walk (RW)
A time series is a random walk if
1.
2. is white noise
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Random walk (RW)
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Biased random walk
A biased random walk (or random walk with drift) is written as
where is the bias (drift) per time step and is white noise
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Biased random walk
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Differencing a biased random walk
First-differencing a biased random walk yields a constant mean (level) plus white noise
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Differencing a biased random walk
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LINEAR STATIONARY MODELS
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Linear stationary models
We saw last week that linear filters are a useful way of modeling timeseries
Here we extend those ideas to a general class of models callautoregressive moving average (ARMA) models
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Autoregressive (AR) models
Autoregressive models are widely used in ecology to treat a currentstate of nature as a function its past state(s)
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Autoregressive (AR) models
An autoregressive model of order p, or AR(p), is defined as
where we assume
1. is white noise
2. for an order-p process
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Examples of AR(p) models
AR(1)
AR(1) with (random walk)
AR(2)
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Examples of AR(p) models
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Stationary AR(p) models
Recall that stationary processes have the following properties
We seek a means for identifying whether our AR(p) models are alsostationary
1. no systematic change in the mean or variance
2. no systematic trend
3. no periodic variations or seasonality
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Stationary AR(p) models
We can write out an AR(p) model using the backshift operator
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Stationary AR(p) models
If we treat as a number (or numbers), we can out write thecharacteristic equation as
To be stationary, all roots of the characteristic equation must exceed 1in absolute value
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Stationary AR(p) models
For example, consider this AR(1) model from earlier
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Stationary AR(p) models
For example, consider this AR(1) model from earlier
This model is indeed stationary because
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Stationary AR(p) models
What about this AR(2) model from earlier?
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Stationary AR(p) models
What about this AR(2) model from earlier?
This model is not stationary because only one
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What about random walks?
Consider our random walk model
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What about random walks?
Consider our random walk model
Random walks are not stationary because
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Stationary AR(1) models
We can define a space over which all AR(1) models are stationary
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Stationary AR(1) models
For , we have
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Stationary AR(1) models
For , we have
For , we have
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Stationary AR(1) models
Thus, AR(1) models are stationary if and only if
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Coefficients of AR(1) models
Same value, but different sign
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Coefficients of AR(1) models
Both positive, but different magnitude
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Autocorrelation function (ACF)
Recall that the autocorrelation function ( ) measures the correlationbetween and a shifted version of itself
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ACF for AR(1) models
ACF oscillates for model with
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ACF for AR(1) models
For model with large , ACF has longer tail
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Partial autocorrelation funcion (PACF)
Recall that the partial autocorrelation function ( ) measures thecorrelation between and a shifted version of itself , with thelinear dependence of removed
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ACF & PACF for AR(p) models
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PACF for AR(p) models
Do you see the link between the order p and lag k?
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Using ACF & PACF for model ID
Model ACF PACF
AR(p) Tails off slowly Cuts off after lag p
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Moving average (MA) models
Moving average models are most commonly used for forecasting afuture state
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Moving average (MA) models
A moving average model of order q, or MA(q), is defined as
where is white noise
Each of the is a sum of the most recent error terms
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Moving average (MA) models
A moving average model of order q, or MA(q), is defined as
where is white noise
Each of the is a sum of the most recent error terms
Thus, all MA processes are stationary because they are finite sums ofstationary WN processes
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Examples of MA(q) models
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Examples of MA(q) models
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AR(p) model as an MA( ) model
It is possible to write an AR(p) model as an MA( ) model
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AR(1) model as an MA( ) model
For example, consider an AR(1) model
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AR(1) model as an MA( ) model
If our AR(1) model is stationary, then
so
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Invertible MA(q) models
An MA(q) process is invertible if it can be written as a stationaryautoregressive process of infinite order without an error term
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Invertible MA(1) model
For example, consider an MA(1) model
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Invertible MA(1) model
If we constrain , then
and
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Invertible MA(q) models
Q: Why do we care if an MA(q) model is invertible?
A: It helps us identify the model's parameters
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Invertible MA(q) models
For example, these MA(1) models are equivalent
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ACF & PACF for MA(q) models
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ACF for MA(q) models
Do you see the link between the order q and lag k?
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Using ACF & PACF for model ID
Model ACF PACF
AR(p) Tails off slowly Cuts off after lag p
MA(q) Cuts off after lag q Tails off slowly
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Using ACF & PACF for model ID
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Autoregressive moving average models
An autoregressive moving average, or ARMA(p,q), model is written as
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Autoregressive moving average models
We can write an ARMA(p,q) model using the backshift operator
ARMA models are stationary if all roots of
ARMA models are invertible if all roots of
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Examples of ARMA(p,q) models
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ACF for ARMA(p,q) models
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PACF for ARMA(p,q) models
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Using ACF & PACF for model ID
Model ACF PACF
AR(p) Tails off slowly Cuts off after lag p
MA(q) Cuts off after lag q Tails off slowly
ARMA(p,q) Tails off slowly Tails off slowly
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NONSTATIONARY MODELS
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Autoregressive integrated moving average(ARIMA) models
If the data do not appear stationary, differencing can help
This leads to the class of autoregressive integrated moving average(ARIMA) models
ARIMA models are indexed with orders (p,d,q) where d indicates theorder of differencing
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ARIMA(p,d,q) models
For , is an ARIMA(p,d,q) process if is an ARMA(p,q)process
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ARIMA(p,d,q) models
For , is an ARIMA(p,d,q) process if is an ARMA(p,q)process
For example, if is an ARIMA(1,1,0) process then is anARMA(1,0) = AR(1) process
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ARIMA(p,d,q) models
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ARIMA(p,d,q) models
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Topics for today
Review
Autoregressive (AR) models
Moving average (MA) models
Autoregressive moving average (ARMA) models
Using ACF & PACF for model ID
White noise
Random walks
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