Week 9: ARIMA models

What you will learn this week

  • Seasonal ARIMA models
  • Computing forecasts for ARIMA models
  • ARIMA vs ETS models

Pre-class activities

Read Sections 9.8-9.10 of the textbook and watch all embedded videos

Exercises (on your own or in tutorial)

Complete Exercises 6-10 from Section 9.11 of the book.

Slides for seminar

Download pdf

Seminar activities

For the Australian tourism data (from tourism):

  • Fit a suitable ARIMA model for all data.
  • Produce forecasts of your fitted models.
  • Check the forecasts for the “Snowy Mountains” and “Melbourne” regions. Do they look reasonable?