Interpretation of ARIMAtest

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  Mohamad

  2019年09月30日 20:15

  In regard to the ARIMA model,

  • (Good) The residuals don't have skewness or excess-kurtosis (fat tails), and mean is not different from zero
  • (Good) The residuals are normally distributed.
  • (Bad) The residuals exhibit some serial correlations

  Where we go from here? Experiment with different orders (P,Q) to make the residuals acts like a white-noise.

  I suggest, you difference the input data set, and then run correlogram analysis, to get a good idea of the ARIMA model orders (i.e. P and Q).

   

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