ts-ii-modeling

Time Series II: Modeling

Foreword

A lesson on modeling simple time series, with a focus on the ARIMA model architecture

Lesson Plan

By the end of this lesson, students should be able to:

• Understand the Classical decomposition of a time series
• Describe the components of the ARIMA model and their significance

Additional Resources

• Open-source textbook that’s relatively easy to read
• What is second order differencing?
• NIST Documentation on Time Series Analysis
• statsmodels Documentation for ARIMA Model
• statsmodels Documentation for SARIMAX Model
• Wikipedia Article for Augmented Dickey-Fuller Test
• Duke Course: Statistical forecasting: notes on regression and time series analysis
• Guidelines for Tuning Parameters p, d, q
• Paper on Finding Parameters of Moving Average Models
• Table for Identifying Which Model and Method of Differencing to Use
• scikit-learn Documentation for TimeSeriesSplit
• Article on Backtesting Machine Learning Models
• A Survey of Methods for Time Series Change Point Detection