Automatic ARIMA modeling including interventions, using time series expert software

Guy Mélard

doi:10.1016/S0169-2070(00)00067-4

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Automatic ARIMA modeling including interventions, using time series expert software

2000-10-01

PRE

Guy Mélard

J. M. Pasteels

DOI：10.1016/S0169-2070(00)00067-4

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Abstract

En 中文

This article has three objectives: (a) to describe the method of automatic ARIMA modeling (AAM), with and without intervention analysis, that has been used in the analysis; (b) to comment on the results; and (c) to comment on the M3 Competition in general. Starting with a computer program for fitting an ARIMA model and a methodology for building univariate ARIMA models, an expert system has been built, while trying to avoid the pitfalls of most existing software packages. A software package called Time Series Expert TSE-AX is used to build a univariate ARIMA model with or without an intervention analysis. The characteristics of TSE-AX are summarized and, more especially, its automatic ARIMA modeling method. The motivation to take part in the MS-Competition is also outlined. The methodology is described mainly in three technical appendices: (Appendix A) choice of differences and of a transformation, use of intervention analysis; (Appendix B) available specification procedures; (Appendix C) adequacy, model checking and new specification. The problems raised by outliers are discussed, in particular how close they are from the forecast origin. Several series that are difficult to deal with from that point of view are mentioned and one of them is shown. In the last section, we comment on contextual information, the idea of an e-M Competition, prediction intervals and the possible use of other forecasting methods within Time Series Expert. (C) 2000 Elsevier Science B.V. All rights reserved.

Keywords:

M3-Competition

ARIMA models

expect system

intervention analysis

outliers

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