The Problem of the SARIMA Model Selection for the Forecasting Purpose

The goal of the work is to assess the ability to identify the proper models for the time series generated by SARIMA processes with different parameter values and to analyze the accuracy of the forecasts based on the selected models. The work is based on the simulation study. To this end, a new autom...

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Published in:Statistika (Prague, Czech Republic) Czech Republic), 2017-01, Vol.97 (4), p.25-32
Main Authors: Josef Arlt, Peter Trcka, Markéta Arltová
Format: Article
Language:English
Subjects:
forecasting
identification of model
SARIMA
simulation
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creator Josef Arlt
Peter Trcka
Markéta Arltová
description The goal of the work is to assess the ability to identify the proper models for the time series generated by SARIMA processes with different parameter values and to analyze the accuracy of the forecasts based on the selected models. The work is based on the simulation study. To this end, a new automatic SARIMA modelling method is proposed. Other competing automatic SARIMA modelling procedures are applied as well and the results are compared. The important question to which the reference should be made is the relation of the magnitude of the SARIMA process parameters i. e. the size of the systematic part of the process and the ability to identify a proper model. Another issue addressed herein is the relationship between the quality of the identified model and the accuracy of forecasts achieved by its application. The simulation study leads to the results that can be generalized to most empirical analyses in various research areas.
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subjects forecasting
identification of model
SARIMA
simulation
title The Problem of the SARIMA Model Selection for the Forecasting Purpose
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