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ARIMA parameter configuration p, q, d

User: "Barclaeys"
New Altair Community Member
Updated by Jocelyn
hi,

I am fairly new to data science and exploring time-series. I'm currently trying the ARIMA model but notice there is a big difference in the outcome of the model by configuring the p, q and d parameters. Is there anyone who can explain in simple words what each parameter means and how I can come up with the best configuration? Or should I use the default and use a parameter optimization?

I hope someone can share his/her experience.
Thanks,
Bart

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    User: "MartinLiebig"
    Altair Employee
    Accepted Answer

    p and q are basically how far the model can look back. Keep i mind that ARIMA has three parts (Auto-Regressive, Integral and Moving Average). p is the look back for the AR part, q for the MA part. If you set for example p=1 and q=0, then your model will only be auto-regressive and only consider the last data point.

    On d: that controls the I part of ARIMA. In layman terms: ARIMA can forecast not just the time series itself, but alternatively it's derivative (and then later integrate again). if you set d=0 you forecast the original series, d=1 the 1st derivative and so on. I usually only try d=0 and d=1.

    Best,
    Martin