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"![](\"http://sydney.edu.au/images/content/about/logo-mono.jpg\")
\n",
"\n",
"Predictive Analytics (QBUS2820)
\n",
"Tutorial 13 (self-study): ARIMA
\n",
"
\n",
"\n",
"This tutorial we add the ARIMA model to our analysis of the Australian inflation data from a previous tutorial. \n",
"\n",
"#Data:-Australian-CPI-Inflation\">Data: Australian CPI inflation
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"ARIMA model identification
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"Estimation
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"Model diagnostics
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"Model validation
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"Forecast
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"\n",
"This notebook relies on the following imports and settings."
]
},
{
"cell_type": "code",
"execution_count": 1,
"metadata": {
"collapsed": true
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"source": [
"# Packages\n",
"import warnings\n",
"warnings.filterwarnings(\"ignore\")\n",
"import numpy as np\n",
"from scipy import stats\n",
"import pandas as pd\n",
"import matplotlib.pyplot as plt\n",
"import seaborn as sns\n",
"import statsmodels.api as sm"
]
},
{
"cell_type": "code",
"execution_count": 2,
"metadata": {
"collapsed": true
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"source": [
"# Plot settings\n",
"sns.set_context('notebook') \n",
"sns.set_style('ticks')\n",
"red='#D62728'\n",
"blue='#1F77B4'\n",
"%matplotlib inline"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"##Data: Australian CPI inflation\n"
]
},
{
"cell_type": "code",
"execution_count": 3,
"metadata": {},
"outputs": [
{
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"text/html": [
"\n",
"\n",
"
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" \n",
" \n",
" | \n",
" Inflation | \n",
"
\n",
" \n",
" | Date | \n",
" | \n",
"
\n",
" \n",
" \n",
" \n",
" | 2016Q2 | \n",
" 0.4 | \n",
"
\n",
" \n",
" | 2016Q3 | \n",
" 0.7 | \n",
"
\n",
" \n",
" | 2016Q4 | \n",
" 0.5 | \n",
"
\n",
" \n",
" | 2017Q1 | \n",
" 0.5 | \n",
"
\n",
" \n",
" | 2017Q2 | \n",
" 0.2 | \n",
"
\n",
" \n",
"
\n",
"
\n",
"\n",
"
\n",
" \n",
" \n",
" | \n",
" RMSE | \n",
" SE | \n",
"
\n",
" \n",
" \n",
" \n",
" | RW | \n",
" 0.538 | \n",
" 0.058 | \n",
"
\n",
" \n",
" | SES | \n",
" 0.499 | \n",
" 0.055 | \n",
"
\n",
" \n",
" | Trend corrected | \n",
" 0.499 | \n",
" 0.055 | \n",
"
\n",
" \n",
" | ARIMA | \n",
" 0.467 | \n",
" 0.055 | \n",
"
\n",
" \n",
" | ARIMA (1991-) | \n",
" 0.467 | \n",
" 0.046 | \n",
"
\n",
" \n",
"
\n",
"