"ARIMA

felix_w
felix_w New Altair Community Member
edited November 5 in Community Q&A

Dear Rapidminer Community, 

 

I was reading into the ARIMA model and I understood that it is vital to have a look at the autocorrelation of the data in order to decide how to set p and q. My question is now, is autocorrelation somehow already implemented in the ARIMA operator and I missed it or how I can set my p,q and d?

I know I can do it via Optimize Parameters and I will get a result but other than that, setting p and q is just trial and error for me? 

 

Best regards

Felix

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Best Answer

  • tftemme
    tftemme New Altair Community Member
    Answer ✓

    Hi @felix_w,

     

    Currently autocorrelation is not yet implemented as a time series operator. You can of course validate your ARIMA model either by its performance on the training data (described by aic, bic, aicc, see the performance outputport of the operator) or better by the performance on a test window (for example by using the Forecast Validation operator). 

     

    Autocorrelation and partial autocorrelation functions will be added in the future.

     

    Best regards,
    Fabian

Answers

  • sgenzer
    sgenzer
    Altair Employee

    copying RM time series guru @tftemme

     

    Scott

     

     

  • tftemme
    tftemme New Altair Community Member
    Answer ✓

    Hi @felix_w,

     

    Currently autocorrelation is not yet implemented as a time series operator. You can of course validate your ARIMA model either by its performance on the training data (described by aic, bic, aicc, see the performance outputport of the operator) or better by the performance on a test window (for example by using the Forecast Validation operator). 

     

    Autocorrelation and partial autocorrelation functions will be added in the future.

     

    Best regards,
    Fabian

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