How to choose arma model

1. Which ARMA model is the best?
2. How do I choose P and Q for ARMA?
3. How do I choose the order of my ARIMA model?
4. How do you evaluate ARMA model?

Which ARMA model is the best?

To select the best ARIMA model the data split into two periods, viz. estimation period and validation period. The model for which the values of criteria are smallest is considered as the best model. Hence, ARIMA (2, 1, and 2) is found as the best model for forecasting the SPL data series.

How do I choose P and Q for ARMA?

Choosing the Best ARMA(p,q) Model

In order to determine which order of the ARMA model is appropriate for a series, we need to use the AIC (or BIC) across a subset of values for , and then apply the Ljung-Box test to determine if a good fit has been achieved, for particular values of .

How do I choose the order of my ARIMA model?

Rules for identifying ARIMA models. General seasonal models: ARIMA (0,1,1)x(0,1,1) etc. Identifying the order of differencing and the constant: Rule 1: If the series has positive autocorrelations out to a high number of lags (say, 10 or more), then it probably needs a higher order of differencing.

How do you evaluate ARMA model?

Common criteria used to evaluate ARMA models are the Akaike Information Criterion (AIC) and the Bayesian Information Criterion (BIC), also referred to as the Schwarz Information Criterion (SIC). For more information on these and other model selection criteria, see Wikipedia: Model Selection.