Masuk ARMA

Sampai titik ini Anda telah memperoleh banyak pengalaman memasangkan model ARMA ke data, tetapi sebelum mulai merayakan, cobalah satu latihan lagi (semacam) secara mandiri.

Data pada oil adalah harga spot WTI minyak mentah, FOB (dalam dolar per barel), data mingguan dari 2000 hingga 2008. Gunakan keterampilan Anda untuk memasangkan model ARMA pada imbal hasilnya. Harga minyak mentah mingguan (oil) telah dipetakan untuk Anda. Sepanjang latihan, bekerja lah dengan imbal hasil, yang akan Anda hitung.

Seperti sebelumnya, paket astsa sudah dimuat untuk Anda. Data telah dimuat sebagai oil dan telah diplot.

Latihan ini adalah bagian dari kursus

Model ARIMA di R

Petunjuk latihan

Hitung perkiraan imbal hasil harga minyak mentah menggunakan diff() dan log(). Simpan imbal hasilnya dalam oil_returns.
Plot oil_returns dan perhatikan bahwa ada beberapa pencilan sebelum 2004. Yakinkan diri Anda bahwa imbal hasilnya stasioner.
Plot ACF dan PACF sampel dari oil_returns menggunakan acf2() dari paket astsa.
Dari pasangan P/ACF, tampak bahwa korelasi kecil dan imbal hasil hampir seperti derau. Namun bisa jadi baik ACF maupun PACF sama-sama meluruh. Jika demikian, maka ARMA(1,1) disarankan. Pasangkan model ini ke imbal hasil minyak menggunakan sarima(). Apakah modelnya pas dengan baik? Dapatkah Anda melihat pencilan pada plot residu?

Latihan interaktif praktis

Cobalah latihan ini dengan menyelesaikan kode contoh berikut.

# Calculate approximate oil returns
oil_returns <-

# Plot oil_returns. Notice the outliers.


# Plot the P/ACF pair for oil_returns


# Assuming both P/ACF are tailing, fit a model to oil_returns

Edit dan Jalankan Kode

Latihan ini adalah bagian dari kursus

Model ARIMA di R

SkillTag.level.beginnerSkillTag.label

4.9+

Mulai Kursus Gratis

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.

Exercise 1: First things first Exercise 2: Data play Exercise 3: Elements of time series Exercise 4: Stationarity and nonstationarity Exercise 5: Differencing Exercise 6: Detrending data Exercise 7: Dealing with trend and heteroscedasticity Exercise 8: Stationary time series: ARMA Exercise 9: Simulating 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.

Exercise 1: Model AR dan MA Exercise 2: Memfitting model AR(1)Exercise 3: Menyesuaikan model AR(2)Exercise 4: Menyesuaikan model MA(1)Exercise 5: AR dan MA bersama-sama Exercise 6: Memasang model ARMA Exercise 7: Identifikasi model ARMA Exercise 8: Pemilihan model dan analisis residual Exercise 9: Pemilihan model - I Exercise 10: Pemilihan model - II Exercise 11: Analisis residual - I Exercise 12: Analisis residual - II Exercise 13: Masuk ARMA

Latihan Saat Ini

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.

Exercise 1: ARIMA - integrated ARMA Exercise 2: ARIMA - plug and play Exercise 3: Simulated ARIMA Exercise 4: Global warming Exercise 5: ARIMA diagnostics Exercise 6: Diagnostics - simulated overfitting Exercise 7: Diagnostics - global temperatures Exercise 8: Forecasting ARIMA Exercise 9: Forecasting simulated ARIMA Exercise 10: Forecasting global temperatures

You will learn how to fit and forecast seasonal time series data using seasonal ARIMA models. This is accomplished using what you learned in the previous chapters and by learning how to extend the R time series commands available in the stats and astsa packages.

Exercise 1: Pure seasonal models Exercise 2: P/ACF of pure seasonal models Exercise 3: Fit a pure seasonal model Exercise 4: Mixed seasonal models Exercise 5: Fit a mixed seasonal model Exercise 6: Data analysis - unemployment I Exercise 7: Data analysis - unemployment II Exercise 8: Data analysis - commodity prices Exercise 9: Data analysis - birth rate Exercise 10: Forecasting seasonal ARIMA Exercise 11: Forecasting monthly unemployment Exercise 12: How hard is it to forecast commodity prices?Exercise 13: Congratulations!