Determining p,d,q,P,D,Q

Team Members
Parul Rana - C 33
Sharaneeshwar M - C 41
Vinir Shah - C 54
Damini Ohrie - C 62
 ● Introduction
● Limitations of ARIMA Model
● What is SARIMA Model
● Difference Between ARIMA and
Overview SARIMA
● Process to find values of p, d, q
● Generalizations
 Introduction

● Time Series is an act of predicting the future by understanding the past.Most popular
model used is ‘Autoregressive Integrated Moving Average(ARIMA)

● For Seasonal time series forecasting, variation of ARIMA model was proposed

‘Seasonal ARIMA’

● This model incorporates both non-seasonal and seasonal factors in a multiplicative model
 Limitations of ARIMA Model
● It is a forecasting method for univariate time series data only
● It does not support the seasonal data
● It does not support a time series with a repeating cycle
● It expects the data to be either non seasonal or has the seasonal component
removed
● For eg: in ARIMA Model, generally the seasonal component is adjusted via
methods such as seasonal differencing

● Hence, the Seasonal ARIMA (SARIMA) Model was developed to describe the
seasonal dependence by taking into consideration the seasonal difference, if
necessary
 SARIMA Model

ARIMA (p, d, q) × (P, D, Q)S,

A non seasonal ARIMA model is classified as A seasonal ARIMA model is classified as

“ARIMA(p,d,q)” model, where “ARIMA(p, d, q) × (P, D, Q)S,” model, where

p is the number of autoregressive terms P seasonal AR order

d is the number of non seasonal differences D seasonal differencing

q is the number of lagged forecast errors Q seasonal MA order

S time span of repeating seasonal pattern

 Difference Between ARIMA and SARIMA

ARIMA
● Autoregressive Integrated Moving
Average (ARIMA) Models
● Non-Seasonal non stationary data
● Model is termed as ARIMA (p,d,q)
SARIMA
● Seasonal Autoregressive Integrated Moving
Average (SARIMA) Models
● Seasonal stationary data
● Model is termed as SARIMA( p,d,q)× (P, D,Q)
model
 Process to find the values of p, d, q
● Try Akaike’s Information Criterion (AIC) on a set of models and investigate
the models with the lowest AIC values
● Try the Schwartz Bayesian Information Criterion (BIC) and investigate the
models with the lowest BIC values
 Process to find the values of p, d, q
● Look at the autocorrelation graph of the data (will help if Moving Average
(MA) model is appropriate)
● Look at the partial autocorrelation graph of the data (will help if
AutoRegressive (AR) model is appropriate)
● Look at the extended autocorrelation chart of the data (will help if a
combination of AR and MA are needed)
 Generalizations
● SARIMA model can be easily generalized for more than one type of seasonality,
but the estimation of this model requires special programs since the
commercially available programs usually only assume one type of seasonality.
● This model, while useful in practice is not suitable for all series and there are
situations where the autocorrelation is different in the different points of time
that make up a seasonal period.
○ For example, with monthly data, we may find that there is very little correlation between some
months whereas there may be very high correlation with others.
○ In such cases, we have to model each month independently and later add the dependency
structure month by month. Theses are called periodic models.
Thank You