Time Series Analysis ARIMA Models 1

Question 1

What does the 'I' in ARIMA stand for?

Accepted Answer

Integrated

Answer

The 'I' in ARIMA stands for Integrated, referring to the differencing applied to make the series stationary.

Question 2

In an ARIMA(p,d,q) model, what does the parameter 'p' represent?

Accepted Answer

Order of the autoregressive component

Answer

The parameter 'p' specifies the order of the autoregressive (AR) component, indicating how many lagged values are used.

Question 3

Which plot is most commonly used to determine the MA order 'q' in an ARIMA model?

Accepted Answer

Autocorrelation Function (ACF)

Answer

The ACF plot shows a sharp cutoff after lag q for a pure MA process, helping identify the MA order.

Question 4

What does the PACF plot help identify in an ARIMA model?

Accepted Answer

The AR order 'p'

Answer

The PACF cuts off sharply after lag p for a pure AR process, making it useful for selecting the AR order.

Question 5

What is the purpose of differencing in an ARIMA model?

Accepted Answer

To achieve stationarity

Answer

Differencing removes trends and unit roots, transforming a non-stationary series into a stationary one.

Time Series Analysis Practice Test