The document describes modeling and forecasting of tur production in India using the ARIMA model. Time series data of tur production from 1950-1951 to 2014-2015 was analyzed using time series methods. The autocorrelation and partial autocorrelation functions were calculated and the Box-Jenkins ARIMA methodology was used. The ARIMA(1,1,1) model was found to be appropriate based on diagnostic checking. Forecasts of tur production from 2015-2016 to 2024-2025 were then calculated using the selected ARIMA(1,1,1) model. The forecasts could help policymakers plan for future requirements of tur seed, imports, and exports.
Force isotropy of three limb spatial parallel manipulatorIAEME Publication
This document summarizes a research paper that analyzes the force isotropy of a three-limb spatial parallel manipulator with two identical limbs. The researchers identify nearly isotropic configurations using the condition number concept, which quantifies how well-conditioned the manipulator is to minimize errors in force from input torques. A MATLAB code is developed to analyze the manipulator's Jacobian matrix at different configurations and identify where the condition number is closest to one, indicating maximum force isotropy and error minimization. The manipulator's inverse kinematics are also analyzed to relate its joint variables to the end effector pose.
Application of time series modelling for predicting the export potential of i...Alexander Decker
This document summarizes a study that uses time series modeling to predict export potential for Indian leather footwear. The study:
1) Analyzes monthly export data from January 1999 to March 2013 for Indian leather footwear using ARIMA and SARIMA time series models.
2) Identifies the ARIMA (1,1,1)(1,2,2) model as best fitting the data based on information criteria.
3) Uses the identified model to forecast export values for Indian leather footwear for the year 2013-2014.
Short-Term Load Forecasting Using ARIMA Model For Karnataka State Electrical ...IJERDJOURNAL
ABSTRACT: Short-term load forecasting is a key issue for reliable and economic operation of power systems. This paper aims to develop short-term electric load forecasting ARIMA Model for Karnataka Electrical Load pattern based on Stochastic Time Series Analysis. The logical and organised procedures for model development using Autocorrelation Function and Partial Autocorrelation Function make ARIMA Model particularly attractive. The methodology involves Initial Model Development Phase, Parameter Estimation Phase and Forecasting Phase. To confirm the effectiveness, the proposed model is developed and tested using the historical data of Karnataka Electrical Load pattern (2016). The forecasting error of ARIMA Model is computed and results have shown favourable forecasting accuracy.
American Research Journal of Humanities & Social Science (ARJHSS) is a double blind peer reviewed, open access journal published by (ARJHSS).
The main objective of ARJHSS is to provide an intellectual platform for the international scholars. ARJHSS aims to promote interdisciplinary studies in Humanities & Social Science and become the leading journal in Humanities & Social Science in the world.
This document summarizes a study that aimed to identify the best linear time series models to forecast paddy production in Batticaloa District, Sri Lanka. The study analyzed time series data on paddy production from 1980-2013 using various trend and time series models like exponential smoothing, Holt-Winters' method, and ARIMA. The Holt-Winters' method was found to be the best model based on the lowest Mean Absolute Percentage Error and residual analysis. The model forecasted paddy production values of 158695 tons for 2013/14 Maha season, 105481 tons for 2014 Yala season, and 213964 tons for 2014/15 Maha season.
MODIFIED VOGEL APPROXIMATION METHOD FOR BALANCED TRANSPORTATION MODELS TOWARD...IAEME Publication
This paper is built on a study in relation to transportation problem as it affects most organisational decision in a decomposed setting. The case study used in this work is Dangote cement factory (in Ibese, Nigeria) with three sources and four destinationscentres. The factory is supported by increasing number of cement delivery trucks. Some models for solving balanced transportation problems (TPs) are considered in order to determine the optimal and initial basic feasible solutions (IBFS). From the analysis, it is observed that Modified Vogel Approximation Method (MVAM) is a better method. This is partly because MVAM considers each unit cost in its solution algorithm and minimises total cost comparatively with Vogel Approximation Method (VAM). The results arefurther justified and validated using windows version 2.00 Tora package.
Force isotropy of three limb spatial parallel manipulatorIAEME Publication
This document summarizes a research paper that analyzes the force isotropy of a three-limb spatial parallel manipulator with two identical limbs. The researchers identify nearly isotropic configurations using the condition number concept, which quantifies how well-conditioned the manipulator is to minimize errors in force from input torques. A MATLAB code is developed to analyze the manipulator's Jacobian matrix at different configurations and identify where the condition number is closest to one, indicating maximum force isotropy and error minimization. The manipulator's inverse kinematics are also analyzed to relate its joint variables to the end effector pose.
Application of time series modelling for predicting the export potential of i...Alexander Decker
This document summarizes a study that uses time series modeling to predict export potential for Indian leather footwear. The study:
1) Analyzes monthly export data from January 1999 to March 2013 for Indian leather footwear using ARIMA and SARIMA time series models.
2) Identifies the ARIMA (1,1,1)(1,2,2) model as best fitting the data based on information criteria.
3) Uses the identified model to forecast export values for Indian leather footwear for the year 2013-2014.
Short-Term Load Forecasting Using ARIMA Model For Karnataka State Electrical ...IJERDJOURNAL
ABSTRACT: Short-term load forecasting is a key issue for reliable and economic operation of power systems. This paper aims to develop short-term electric load forecasting ARIMA Model for Karnataka Electrical Load pattern based on Stochastic Time Series Analysis. The logical and organised procedures for model development using Autocorrelation Function and Partial Autocorrelation Function make ARIMA Model particularly attractive. The methodology involves Initial Model Development Phase, Parameter Estimation Phase and Forecasting Phase. To confirm the effectiveness, the proposed model is developed and tested using the historical data of Karnataka Electrical Load pattern (2016). The forecasting error of ARIMA Model is computed and results have shown favourable forecasting accuracy.
American Research Journal of Humanities & Social Science (ARJHSS) is a double blind peer reviewed, open access journal published by (ARJHSS).
The main objective of ARJHSS is to provide an intellectual platform for the international scholars. ARJHSS aims to promote interdisciplinary studies in Humanities & Social Science and become the leading journal in Humanities & Social Science in the world.
This document summarizes a study that aimed to identify the best linear time series models to forecast paddy production in Batticaloa District, Sri Lanka. The study analyzed time series data on paddy production from 1980-2013 using various trend and time series models like exponential smoothing, Holt-Winters' method, and ARIMA. The Holt-Winters' method was found to be the best model based on the lowest Mean Absolute Percentage Error and residual analysis. The model forecasted paddy production values of 158695 tons for 2013/14 Maha season, 105481 tons for 2014 Yala season, and 213964 tons for 2014/15 Maha season.
MODIFIED VOGEL APPROXIMATION METHOD FOR BALANCED TRANSPORTATION MODELS TOWARD...IAEME Publication
This paper is built on a study in relation to transportation problem as it affects most organisational decision in a decomposed setting. The case study used in this work is Dangote cement factory (in Ibese, Nigeria) with three sources and four destinationscentres. The factory is supported by increasing number of cement delivery trucks. Some models for solving balanced transportation problems (TPs) are considered in order to determine the optimal and initial basic feasible solutions (IBFS). From the analysis, it is observed that Modified Vogel Approximation Method (MVAM) is a better method. This is partly because MVAM considers each unit cost in its solution algorithm and minimises total cost comparatively with Vogel Approximation Method (VAM). The results arefurther justified and validated using windows version 2.00 Tora package.
This document presents a time series model for the exchange rate between the Euro (EUR) and the Egyptian Pound (EGP) using a GARCH model. The author analyzes the time series data of the exchange rate for 2008 and finds that it exhibits volatility clustering where large changes tend to follow large changes. An ARCH or GARCH model is needed to capture the changing conditional variances over time. The author estimates several GARCH models and selects the GARCH(1,2) model based on statistical significance of coefficients and AIC values. Diagnostic tests show that the GARCH(1,2) model adequately captures the heteroskedasticity in the data. The fitted model is then used to predict future exchange rates
REVIEW ON MODELS FOR GENERALIZED PREDICTIVE CONTROLLERcscpconf
Keeping of vehicles on track under non-linear dynamics conditions is important for unmanned
navigation, because it saves fuel and journey time. Keeping this in view, an efficient model is
required for controller that incorporates non-linear dynamics. Currently researchers are using
models like “A-R”,“M-A”, “ARMA”, “ARMA with Exogenous Input”, to improve the accuracy
of tracking, but still drawback exists because of identical disturbance random sequence and
excessive control effort. Hence “ARIMA” model is used which overcomes these disadvantages.
This paper discusses design details of “ARIMA” model along with comparisons of other models
used for ship tracking
A review on non traditional algorithms for job shop schedulingiaemedu
The document provides a review of non-traditional algorithms that have been used for job shop scheduling problems. It discusses how job shop scheduling is an NP-hard problem and researchers have focused on hybrid methods and metaheuristics. The review covers various techniques including tabu search, genetic algorithms, simulated annealing, ant colony optimization, and iterative local search methods. It also includes tables summarizing different approximation algorithms and literature on job shop scheduling using techniques like priority dispatch rules, insertion algorithms, artificial intelligence methods, and local search methods.
International Journal of Computational Engineering Research(IJCER) is an intentional online Journal in English monthly publishing journal. This Journal publish original research work that contributes significantly to further the scientific knowledge in engineering and Technology.
Performance improvement of a Rainfall Prediction Model using Particle Swarm O...ijceronline
The performances of the statistical methods of time series forecast can be improved by precise selection of their parameters. Various techniques are being applied to improve the modeling accuracy of these models. Particle swarm optimization is one such technique which can be conveniently used to determine the model parameters accurately. This robust optimization technique has already been applied to improve the performance of artificial neural networks for time series prediction. This study uses particle swarm optimization technique to determine the parameters of an exponential autoregressive model for time series prediction. The model is applied for annual rainfall prediction and it shows a fairly good performance in comparison to the statistical ARIMA model
Designed to construct a statistical model describing the impact of a two or more quantitative factors on a dependent variable. The fitted model may be used to make predictions, including confidence limits and/or prediction limits. Residuals may also be plotted and influential observations identified.
This paper considers a flow shop scheduling problem. The flow shop scheduling is
characterized “n” jobs and “m” machines in series with unidirectional flow of work with
variety of jobs being processed sequentially in a single pass manner. Most real world
problems are NP-hard in nature. The essential complexity of the problem necessitates the
use of meta-heuristics for solving flow shop scheduling problem. The paper addresses the
flow shop scheduling problem to minimize the makespan time with specific batch size
using Particle Swarm Optimization (PSO) and comparing the results with an real time
company production sequence.
Study of effectiveness of time series modeling (arima) in forecasting stock p...IJCSEA Journal
Stock price prediction has always attracted interest because of the direct financial benefit and the
associated complexity. From our literature review, we felt the need of a study having sector specific
analysis with a broad range of stocks. In this paper, we have conducted a study on the effectiveness of
Autoregressive Integrated Moving Average (ARIMA)model, on fifty six Indian stocks from different sectors.
We have chosen ARIMA model, because of its simplicity and wide acceptability of the model. We also have
studied the effect on prediction accuracy based on various possible previous period data taken. The
comparison and parameterization of the ARIMA model have been done using Akaike information criterion
(AIC). The contribution of the paper , are a) coverage of a good number of Indian stocks b) Analysis of the
models based on sectors c) Analysis of prediction accuracy based on the varying span of previous period
data.
Air Passenger Prediction Using ARIMA Model AkarshAvinash
How has the Airline industry suffered during the pandemic? was a question that always stuck in my mind
when I saw articles on how travelling has been banned and movement of people not only from one country
to another country but also one state to another was being restricted. Hence as a statistics Student with a
curious mind I set out on a quest to find the effect of pandemic on the airline Industry. Tying statistics to
business problems that could benefit a business excites me. Hence I took up the initiative and called two
friends and decided to take their help in this task
we decided to get month wise domestic and international aviation data of the number of departures and
passengers in India during Jan 2010 to April 2022 from Airport Authorities of India website. We then took
this data cleaned, processed and transformed it to make it usable for our analysis. The analysis I suggested
to do for this objective was a familiar one which we had recently learnt in our fifth semester which was
Time series analysis under which we used the Auto Regressive Integrated Moving Average model which
creates a model that uses the past data to predict the future. As I am comfortable in coding I did the analysis
using R studio and python which has some excellent libraries to assist us in the analysis. We created the
model in such a way that the data could predict how the industry would behave if covid had not occurred.
We then compared the reality with the simulation which gave us some interesting interpretations. The results we found is that, international aviation industry on an average suffered five crores thirty three lakhs
per flight per month in losses and the domestic industry on an average suffered eighty two lakhs twenty
four thousand per flight per month in losses. But the key takeaway for the aviation industry from our
simulation vs reality analysis is that international travel is almost back on track after a major setback like
travel ban and it took 2 years and 3 months to do so whereas domestic travel is yet to recover.
I presented our findings and analysis to my statistics professor Mrs.Anwesha Roy also under whose
guidance we could come this far. She was thrilled with our work and encouraged us to get it published and
my team is currently working on it.
Measuring the volatility in ghana’s gross domestic product (gdp) rate using t...Alexander Decker
This document summarizes a study that analyzed volatility in Ghana's GDP growth rate using GARCH models. The study found that GDP volatility exhibited characteristics like clustering and leverage effects. A GARCH(1,1) model provided a reasonably good fit to quarterly GDP data. Volatility and leverage effects were found to have significantly increased. The best fitting models for GDP volatility were ARIMA(1,1,1)(0,0,1)12 and ARIMA(1,1,2)(0,0,1)12 models.
STOCK PRICE PREDICTION USING TIME SERIESIRJET Journal
This document discusses using time series analysis and ARIMA modeling to predict stock prices. It begins with an introduction that explains why accurately predicting stock prices is challenging but important for investors. It then provides an overview of time series analysis and some common time series forecasting techniques like ARIMA, exponential smoothing, and naive methods. The document reviews related work applying machine learning to securities market prediction. It outlines the methodology, which involves gathering stock market data and analyzing it with ARIMA and other time series models to forecast future stock prices. Finally, it discusses the existing methodology and limitations of solely using ARIMA modeling for time series forecasting.
STOCK PRICE PREDICTION USING TIME SERIESIRJET Journal
This document discusses using time series analysis and machine learning algorithms to predict stock prices. Specifically, it analyzes using the ARIMA (Autoregressive Integrated Moving Average) model and other techniques like exponential smoothing, naive forecasting, seasonal naive forecasting and neural networks. The document outlines the existing methodology for stock price prediction, which involves collecting historical data, cleaning it, and using it to train and test models. It then evaluates the performance of ARIMA and exponential smoothing models on stock price data from Yahoo Finance, finding they achieved 97.6% accuracy, outperforming other algorithms. The conclusion is that time series methods like ARIMA and exponential smoothing produced reliable models when the training data exhibited strong trends, but
Forecasting demand for petroleum products in ghana using time series modelsAlexander Decker
This document summarizes a study that aimed to forecast demand for petroleum products in Ghana using time series models. The study analyzed annual demand data from 2000-2010 using nested conditional mean (ARMA) and conditional variance (GARCH, GJR, EGARCH) models. It proposed and studied a regression-based forecast filtering simulation to potentially improve forecast results. Key findings included that ARMA(2,2) models best forecasted mean demand, while GARCH(1,1)/GJR(1,1)/EGARCH(1,1) models best forecasted demand variance. The study compared forecast accuracy of these nested models to random walk and regression models using error and inequality metrics.
Applications Residual Control Charts Based on Variable LimitsIJERA Editor
The main purpose of this paper is to verify the stability of a productive process in the presence of the effects of autocorrelation and volatility, in order to capture these characteristics by a joint forecast model which produces residuals that are evaluated by a control chart based on variable control limits. The methodology employed will be the joint estimation of the residuals by ARIMA – ARCH models and the conditional standard deviation from residuals to establish the chart control limits. The joint AR (1)-ARCH (1) model shows that an appropriate forecasting model brings a great contribution to the performance of residual control charts in monitoring the stability of industrial variables using just one chart to monitor mean and variance together.
Proposed seasonal autoregressive integrated moving average model for forecast...Alexander Decker
1. The study used a Seasonal Autoregressive Integrated Moving Average (SARIMA) model to analyze monthly rainfall data from Navrongo, Ghana between 1980-2010 and develop a forecasting model.
2. The best fitting SARIMA model was ARIMA (0,0,1)(0,1,1)12. This model had the lowest Akaike Information Criterion, corrected Akaike Information Criterion, and Bayesian Information Criterion values compared to other models. It also had the best in-sample and out-of-sample forecasting performance.
3. Diagnostic checks of the ARIMA (0,0,1)(0
IRJET - Crude Oil Price Forecasting using ARIMA ModelIRJET Journal
1) The document examines using an ARIMA model to forecast crude oil prices based on WTI crude oil price data from 1987 to 2020.
2) It finds the WTI oil price data is non-stationary and takes the log of the prices and removes trends and seasonality to make the data stationary.
3) It then identifies the best fitting ARIMA model as ARIMA(0,1,4) and applies it to forecast future oil prices, finding a mean squared error of 1.606 on test data.
This document compares the accuracy of ARIMA, LSTM, and linear regression models for stock price prediction. It downloads historic stock price data for NASDAQ and NSE stocks and uses 80% for training and 20% for testing the models. For the NASDAQ stock, ARIMA and LSTM models have more accurate predictions than linear regression, with lower RMSE values. However, for the NSE stock, LSTM and linear regression predictions are more accurate than ARIMA. The results are displayed using Python plots and code, with RMSE values provided to compare prediction accuracy between the different models.
This document describes using an ARIMA model to predict annual automobile sales using time series data from 2003-2014 on tractor sales from Mahindra Tractors Company. The ARIMA model is applied to predict sales for the next 5 years. ARIMA models past values and error terms to identify patterns in time series data. The results will show which ARIMA model best predicts future sales over the next 5 years.
IRJET- Rainfall Simulation using Co-Active Neuro Fuzzy Inference System (...IRJET Journal
The document compares two methods for rainfall simulation: Co-active Neuro Fuzzy Inference System (CANFIS) and Multi Linear Regression (MLR). CANFIS models with different input combinations were developed and their performance was evaluated based on statistical indices. CANFIS Model 4, using solar radiation as input, performed best with the lowest error and highest correlation and efficiency scores. Overall, the CANFIS models more closely predicted observed rainfall values compared to MLR. The study concludes CANFIS shows better accuracy than MLR for rainfall forecasting.
9. the efficiency of volatility financial model withikhwanecdc
This document summarizes a study that investigates the effectiveness of volatility financial models with the presence of additive outliers via Monte Carlo simulation. The study simulates data using an ARMA(1,0)-GARCH(1,2) model with different sample sizes of 500, 1000, and 1400, both with and without 10% additive outliers added. The effectiveness of the models is evaluated based on error metrics and information criteria. The results indicate that the effectiveness of the ARMA-GARCH model diminishes as sample size increases in the presence of additive outliers.
Exam 3 – Sampled Reading Questions
In Nigerian Gold Rush, Lead Poisons Thousands of Children
http://www.npr.org/blogs/health/2012/10/03/161908669/in-‐the-‐wake-‐of-‐high-‐ gold-‐prices-‐lead-‐poisons-‐thousands-‐of-‐children
· Which organization is treating patients in the area?
· The level of lead considered “dangerous” by the U.S. Center for Disease Control and Prevention
· Two ways of earning a living in Nigeria
· What caused lead poisoning?
· What is the role of lead in the process of extracting gold?
· Others World’s largest Dead Zone Suffocating Sea http://news.nationalgeographic.com/news/2010/02/100305-‐baltic-‐sea-‐algae-‐ dead-‐zones-‐water/
· Where is this “Suffocating Sea”
· Why Eagle was endangered?
· What is overfishing to do with the algae issue?
· What is the meaning of “brackish water”?
· Proposed strategy to combat the algae problem is to phase out ?
· Earth youngest sea?
· Others Vast Tracts in Paraguay Forest Being Replaced by Ranches http://www.nytimes.com/2012/03/25/world/americas/paraguays-‐chaco-‐forest-‐ being-‐cleared-‐by-‐ranchers.html?pagewanted=all&_r=0
· Why it is called “green hell”?
· Where did those ranchers originally come from?
· Mennonite’s religious affiliation.
· Beef exported to?
Assignment 6 Project Part 3 -- The ARIMA Forecast. This assignment is due by midnight Nov 4th. The assignment is worth a maximum of 2.5 extra credit points and may serve as the project ARIMA section. This assignment is due by midnight Nov 4th. No late submissions will be graded.
(Again -- 1. Do not show failed models in business reports. Share your failures with your family if you wish and not with your boss or instructor.and 2.Never use Y hold out data observations in any forecast model.)
Complete each of the following sections.
a) Examine the Y data (excluding the hold out period) to determine if it needs to be differenced to make it stationary. Show a time series plot of the raw Y data and autocorrelation functions (ACFs).
The time series plot shows increasing trend along with seasonal variation.
ACFs are significant till 4 lag and the series in not stationary as can be seen from ACF plot
b) From your time series data plot and AFCs determine if you have seasonality. If you do, use seasonal differences to remove it and run the ACFs and PACFs on the non seasonal Y data series.
Yes, seasonality can be seen, we take 1st difference to remove the seasonal difference and then plot ACFs and PACFs
the first difference makes the data stationary as can be seen from the ACF and PACF.
c) Fill out the ARIMA seasonal menu (P,D,Q) appropriately. If you have no trend as shown by the seasonally differenced ACFs run the ARIMA model and note the significance of each coefficient. Make model adjustments accordingly to improve results.
P= 1, D=1. Q=0
d) If it requires differencing for trend to make it stationary do so and run a ...
This document presents a time series model for the exchange rate between the Euro (EUR) and the Egyptian Pound (EGP) using a GARCH model. The author analyzes the time series data of the exchange rate for 2008 and finds that it exhibits volatility clustering where large changes tend to follow large changes. An ARCH or GARCH model is needed to capture the changing conditional variances over time. The author estimates several GARCH models and selects the GARCH(1,2) model based on statistical significance of coefficients and AIC values. Diagnostic tests show that the GARCH(1,2) model adequately captures the heteroskedasticity in the data. The fitted model is then used to predict future exchange rates
REVIEW ON MODELS FOR GENERALIZED PREDICTIVE CONTROLLERcscpconf
Keeping of vehicles on track under non-linear dynamics conditions is important for unmanned
navigation, because it saves fuel and journey time. Keeping this in view, an efficient model is
required for controller that incorporates non-linear dynamics. Currently researchers are using
models like “A-R”,“M-A”, “ARMA”, “ARMA with Exogenous Input”, to improve the accuracy
of tracking, but still drawback exists because of identical disturbance random sequence and
excessive control effort. Hence “ARIMA” model is used which overcomes these disadvantages.
This paper discusses design details of “ARIMA” model along with comparisons of other models
used for ship tracking
A review on non traditional algorithms for job shop schedulingiaemedu
The document provides a review of non-traditional algorithms that have been used for job shop scheduling problems. It discusses how job shop scheduling is an NP-hard problem and researchers have focused on hybrid methods and metaheuristics. The review covers various techniques including tabu search, genetic algorithms, simulated annealing, ant colony optimization, and iterative local search methods. It also includes tables summarizing different approximation algorithms and literature on job shop scheduling using techniques like priority dispatch rules, insertion algorithms, artificial intelligence methods, and local search methods.
International Journal of Computational Engineering Research(IJCER) is an intentional online Journal in English monthly publishing journal. This Journal publish original research work that contributes significantly to further the scientific knowledge in engineering and Technology.
Performance improvement of a Rainfall Prediction Model using Particle Swarm O...ijceronline
The performances of the statistical methods of time series forecast can be improved by precise selection of their parameters. Various techniques are being applied to improve the modeling accuracy of these models. Particle swarm optimization is one such technique which can be conveniently used to determine the model parameters accurately. This robust optimization technique has already been applied to improve the performance of artificial neural networks for time series prediction. This study uses particle swarm optimization technique to determine the parameters of an exponential autoregressive model for time series prediction. The model is applied for annual rainfall prediction and it shows a fairly good performance in comparison to the statistical ARIMA model
Designed to construct a statistical model describing the impact of a two or more quantitative factors on a dependent variable. The fitted model may be used to make predictions, including confidence limits and/or prediction limits. Residuals may also be plotted and influential observations identified.
This paper considers a flow shop scheduling problem. The flow shop scheduling is
characterized “n” jobs and “m” machines in series with unidirectional flow of work with
variety of jobs being processed sequentially in a single pass manner. Most real world
problems are NP-hard in nature. The essential complexity of the problem necessitates the
use of meta-heuristics for solving flow shop scheduling problem. The paper addresses the
flow shop scheduling problem to minimize the makespan time with specific batch size
using Particle Swarm Optimization (PSO) and comparing the results with an real time
company production sequence.
Study of effectiveness of time series modeling (arima) in forecasting stock p...IJCSEA Journal
Stock price prediction has always attracted interest because of the direct financial benefit and the
associated complexity. From our literature review, we felt the need of a study having sector specific
analysis with a broad range of stocks. In this paper, we have conducted a study on the effectiveness of
Autoregressive Integrated Moving Average (ARIMA)model, on fifty six Indian stocks from different sectors.
We have chosen ARIMA model, because of its simplicity and wide acceptability of the model. We also have
studied the effect on prediction accuracy based on various possible previous period data taken. The
comparison and parameterization of the ARIMA model have been done using Akaike information criterion
(AIC). The contribution of the paper , are a) coverage of a good number of Indian stocks b) Analysis of the
models based on sectors c) Analysis of prediction accuracy based on the varying span of previous period
data.
Air Passenger Prediction Using ARIMA Model AkarshAvinash
How has the Airline industry suffered during the pandemic? was a question that always stuck in my mind
when I saw articles on how travelling has been banned and movement of people not only from one country
to another country but also one state to another was being restricted. Hence as a statistics Student with a
curious mind I set out on a quest to find the effect of pandemic on the airline Industry. Tying statistics to
business problems that could benefit a business excites me. Hence I took up the initiative and called two
friends and decided to take their help in this task
we decided to get month wise domestic and international aviation data of the number of departures and
passengers in India during Jan 2010 to April 2022 from Airport Authorities of India website. We then took
this data cleaned, processed and transformed it to make it usable for our analysis. The analysis I suggested
to do for this objective was a familiar one which we had recently learnt in our fifth semester which was
Time series analysis under which we used the Auto Regressive Integrated Moving Average model which
creates a model that uses the past data to predict the future. As I am comfortable in coding I did the analysis
using R studio and python which has some excellent libraries to assist us in the analysis. We created the
model in such a way that the data could predict how the industry would behave if covid had not occurred.
We then compared the reality with the simulation which gave us some interesting interpretations. The results we found is that, international aviation industry on an average suffered five crores thirty three lakhs
per flight per month in losses and the domestic industry on an average suffered eighty two lakhs twenty
four thousand per flight per month in losses. But the key takeaway for the aviation industry from our
simulation vs reality analysis is that international travel is almost back on track after a major setback like
travel ban and it took 2 years and 3 months to do so whereas domestic travel is yet to recover.
I presented our findings and analysis to my statistics professor Mrs.Anwesha Roy also under whose
guidance we could come this far. She was thrilled with our work and encouraged us to get it published and
my team is currently working on it.
Measuring the volatility in ghana’s gross domestic product (gdp) rate using t...Alexander Decker
This document summarizes a study that analyzed volatility in Ghana's GDP growth rate using GARCH models. The study found that GDP volatility exhibited characteristics like clustering and leverage effects. A GARCH(1,1) model provided a reasonably good fit to quarterly GDP data. Volatility and leverage effects were found to have significantly increased. The best fitting models for GDP volatility were ARIMA(1,1,1)(0,0,1)12 and ARIMA(1,1,2)(0,0,1)12 models.
STOCK PRICE PREDICTION USING TIME SERIESIRJET Journal
This document discusses using time series analysis and ARIMA modeling to predict stock prices. It begins with an introduction that explains why accurately predicting stock prices is challenging but important for investors. It then provides an overview of time series analysis and some common time series forecasting techniques like ARIMA, exponential smoothing, and naive methods. The document reviews related work applying machine learning to securities market prediction. It outlines the methodology, which involves gathering stock market data and analyzing it with ARIMA and other time series models to forecast future stock prices. Finally, it discusses the existing methodology and limitations of solely using ARIMA modeling for time series forecasting.
STOCK PRICE PREDICTION USING TIME SERIESIRJET Journal
This document discusses using time series analysis and machine learning algorithms to predict stock prices. Specifically, it analyzes using the ARIMA (Autoregressive Integrated Moving Average) model and other techniques like exponential smoothing, naive forecasting, seasonal naive forecasting and neural networks. The document outlines the existing methodology for stock price prediction, which involves collecting historical data, cleaning it, and using it to train and test models. It then evaluates the performance of ARIMA and exponential smoothing models on stock price data from Yahoo Finance, finding they achieved 97.6% accuracy, outperforming other algorithms. The conclusion is that time series methods like ARIMA and exponential smoothing produced reliable models when the training data exhibited strong trends, but
Forecasting demand for petroleum products in ghana using time series modelsAlexander Decker
This document summarizes a study that aimed to forecast demand for petroleum products in Ghana using time series models. The study analyzed annual demand data from 2000-2010 using nested conditional mean (ARMA) and conditional variance (GARCH, GJR, EGARCH) models. It proposed and studied a regression-based forecast filtering simulation to potentially improve forecast results. Key findings included that ARMA(2,2) models best forecasted mean demand, while GARCH(1,1)/GJR(1,1)/EGARCH(1,1) models best forecasted demand variance. The study compared forecast accuracy of these nested models to random walk and regression models using error and inequality metrics.
Applications Residual Control Charts Based on Variable LimitsIJERA Editor
The main purpose of this paper is to verify the stability of a productive process in the presence of the effects of autocorrelation and volatility, in order to capture these characteristics by a joint forecast model which produces residuals that are evaluated by a control chart based on variable control limits. The methodology employed will be the joint estimation of the residuals by ARIMA – ARCH models and the conditional standard deviation from residuals to establish the chart control limits. The joint AR (1)-ARCH (1) model shows that an appropriate forecasting model brings a great contribution to the performance of residual control charts in monitoring the stability of industrial variables using just one chart to monitor mean and variance together.
Proposed seasonal autoregressive integrated moving average model for forecast...Alexander Decker
1. The study used a Seasonal Autoregressive Integrated Moving Average (SARIMA) model to analyze monthly rainfall data from Navrongo, Ghana between 1980-2010 and develop a forecasting model.
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Modelling and forecasting of tur production in India usingARIMA model
1. SUMMARY : The paper describes an empirical study of modeling and forecasting time series data of
tur production in India.Yearly tur production data for the period of 1950-1951 to 2014-2015 of India were
analyzed by time-series methods.Autocorrelation and partial autocorrelation functions were calculated
for the data. The Box Jenkins ARIMA methodology has been used for forecasting. The diagnostic
checking has shown that ARIMA(1, 1, 1) is appropriate. The forecasts from 2015-2016 to 2024-2025
were calculated based on the selected model. The forecasting power of autoregressive integrated
moving average model was used to forecast tur production for ten leading years. These forecasts
would be helpful for the policy makers to foresee ahead of time the future requirements of tur seed,
import and/or export and adopt appropriate measures in this regard.
How to cite this article : Borkar, Prema andBodade, V.M. (2017). Modelling and forecasting of tur production
in India using ARIMA model. Agric. Update, 12(2): 252-257; DOI : 10.15740/HAS/AU/12.2/252-257.
BACKGROUND AND OBJECTIVES
Tur is an important pulse crop in India. It
is also known as pigeonpea, red gram and
Arhar. It is mainly cultivated and consumed
in developing countries of the world. This crop
is widely grown in India. India is the largest
producer and consumer of tur in the world.
Tur is the second largest pulse crop in India
accounting for about 20 per cent of total pulse
production. The production of tur during2014-
15 as per fourth advance estimates in the
country was about 2.78 million tonnes. The
area under tur in current year 2014-15 is
estimated about 39.05 lakh ha which is about
6.4 per cent less than the previous year.
Forecasts have traditionally been made
ModellingandforecastingofturproductioninIndia
usingARIMA model
PREMA BORKAR AND V.M. BODADE
HIND AGRICULTURAL RESEARCH AND TRAINING INSTITUTE
ARTICLE CHRONICLE :
Received :
07.03.2017;
Revised :
22.03.2017;
Accepted :
04.04.2017
RESEARCH ARTICLE :
KEY WORDS :
ACF - autocorrelation
function, ARIMA -
autoregressive
integrated
moving average,
PACF - partial
autocorrelation
function, Tur
using structural econometric models.
Concentration have been given on the
univariate time series models known as auto
regressing integrated moving average
(ARIMA) models, which are primarily due to
world of Box and Jenkins (1970). These
models have been extensively used in practice
for forecasting economic time series,
inventory and sales modeling (Brown, 1959
and Holt et al., 1960) and are generalization
of the exponentially weighted moving average
process. Several methods for identifying
special cases of ARIMA models have been
suggested by Box- Jenkins and others.
Makridakis et al. (1982) and Meese and
Geweke (1982) have discussed the methods
of identifyingunivariate models.Amongothers
Author for correspondence :
PREMA BORKAR
Gokhale Institute of
Politics and Economics,
PUNE (M.S.) INDIA
See end of the article for
authors’ affiliations
Agriculture Update
Volume 12 | Issue 2 | May, 2017 | 252-257
e ISSN-0976-6847
Visit us : www.researchjournal.co.in
DOI: 10.15740/HAS/AU/12.2/252-257
AU
2. 253
Hind Agricultural Research and Training Institute
Agric. Update, 12(2) May, 2017 :
Jenkins and Watts (1968);Yule (1926 and 1927); Bartlett
(1964); Quenouille (1949), Ljunge and Box (1978) and
Pindycke and Rubinfeld (1981) have also emphasized
the use of ARIMA models. In this study, these models
were applied to forecast the production of tur crop in
India. This would enable to predict expected tur
production for the years from 2013 onward. Such an
exercise would enable the policy makers to foresee ahead
of time the future requirements for tur storage, import
and/or export of tur thereby enabling them to take
appropriate measures in this regard. The forecasts would
thus help save much of the precious resources of our
country which otherwise would have been wasted.
RESOURCES AND METHODS
Respective time series data for this study were
collected from various Government Publications of India.
Box and Jenkins (1976) linear time series model was
applied. Auto Regressive Integrated Moving Average
(ARIMA) is the most general class of models for
forecasting a time series. Different series appearing in
the forecasting equations are called “auto-regressive”
process. Appearance of lags of the forecast errors in
the model is called “moving average” process. The
ARIMA model is denoted by ARIMA (p,d,q),
where,
“p” stands for the order of the auto regressive
process,
“d” is the order of the data stationary and
“q” is the order of the moving average process.
The general form of the ARIMA (p,d,q) can be
written as described by Judge et al. (1988).
d
yt
=+1
d
yt-1
+2
d
yt-2
+----- + p
yt-p
+et-l
et-1
-2
et-2
q
e t-2
(1)
where,
d
denotes differencing of order d, i.e., yt
=yt
-yt-1
,
2
yt
=yt
-t-1
and so forth,
Y t-1
-------- yt-p
are past observations(lags),
,1
------- p
are parameters (constant and co-
efficient) to be estimated similar to regression co-
efficients of the auto regressive process (AR) of order
“p” denoted by AR (p) and is written as
Y = +1
yt-1
+2
yt-2
+ -------- + p
yt-p
+et
(2)
where,
et
is forecast error, assumed to be independently
distributed across time with mean and variance 2
e,
et-1
, et-2
——— et-q
are past forecast errors,
1
, ————— q
are moving average (MA) co-
efficient that needs to be estimated.
While MA model of order q (i.e.) MA (q) can be
written as
Yt
= et
-1
t-1
- 2
et-2
-------------------- q
et-q
(3)
The major problem inARIMAmodeling technique
is to choose the most appropriate values for the p, d, and
q. This problem can be partially resolved by looking at
the auto correlation function (ACF) and partial auto
correlation functions (PACF) for the series (Prindycke
and Rubinfeld, 1981). The degree of the homogeneity,
(d) i.e. the number of time series to be differenced to
yield a stationary series was determined on the basis
where the ACF approached zero.
After determining “d” a stationary series d yt
its
auto correlation function and partial autocorrelation were
examined to determined values of p and q, next step was
to “estimate” the model. The model was estimated using
computer package “SPSS”.
Diagnostic checks were applied to the so obtained
results. The first diagnostic check was to draw a time
series plot of residuals. When the plot made a rectangular
scatter around a zero horizontal level with no trend, the
applied model was declared as proper. Identification of
normality served as the second diagnostic check. For
this purpose, normal scores were plotted against residuals
and it was declared in case of a straight line. Secondly, a
histogram of the residuals was plotted. Finding out the
fitness of good served as the third check. Residuals were
plotted against corresponding fitted values: Model was
declared a good fit when the plot showed no pattern.
Using the results ofARIMA(p, q, d), forecasts from
2013 upto 2025 were made. These projections were based
on the following assumptions.
– Absence of random shocks in the economy,
internal or external.
– Agricultural price structure and polices will
remain unchanged.
– Consumer preferences will remain the same.
OBSERVATIONS AND ANALYSIS
The results obtained from the present study as well
as discussions have been summarized under following
heads:
Building ARIMA model for tur production data in
India :
To fit anARIMAmodel requires a sufficiently large
PREMA BORKAR AND V.M. BODADE
252-257
3. 254
Hind Agricultural Research and Training Institute
Agric. Update, 12(2) May, 2017 :
data set. In this study, we used the data for tur production
for the period 1950-1951 to 2014-15.As we have earlier
stated that development of ARIMA model for any
variable involves four steps: identification, estimation,
diagnostic checking and forecasting. Each of these four
steps is now explained for tur production. The time plot
of the tur production data is presented in Fig. 1.
The newly constructed variable Xt
can now be
examined for stationarity. The graph of Xt
was stationary
in mean. The next step is to identify the values of p and
q. For this, the autocorrelation and partial autocorrelation
co-efficients of various orders of Xt are computed (Table
1). The ACF and PACF (Fig. 2 and 3) shows that the
order of p and q can at most be 1.We entertained three
tentative ARIMA models and chose that model which
has minimum AIC (Akaike Information Criterion) and
BIC (Bayesian Information Criterion). The models and
corresponding AIC and BIC values (Table A).
Table A : AIC and BIC value
ARIMA (p, d, q) AIC BIC
1 0 0 47.03 51.28
1 1 0 38.77 42.99
1 1 1 25.02 31.35
Table 1 : Autocorrelations and partial autocorrelations
Lag Autocorrelation Std. error Lag Partial autocorrelation Std. error
1 0.619 0.124 1 0.619 0.127
2 0.566 0.123 2 0.297 0.127
3 0.608 0.122 3 0.316 0.127
4 0.566 0.121 4 0.144 0.127
5 0.551 0.120 5 0.123 0.127
6 0.489 0.119 6 -0.023 0.127
7 0.441 0.118 7 -0.052 0.127
8 0.390 0.117 8 -0.098 0.127
9 0.399 0.116 9 0.032 0.127
10 0.324 0.114 10 -0.083 0.127
11 0.375 0.113 11 0.159 0.127
12 0.347 0.112 12 0.047 0.127
13 0.230 0.111 13 -0.127 0.127
14 0.237 0.110 14 -0.053 0.127
15 0.240 0.109 15 -0.003 0.127
16 0.166 0.108 16 -0.113 0.127
Case Number
61575349454137332925211713951
ValueProduction
3.5
3.0
2.5
2.0
1.5
1.0
3.5
3.0
2.5
2.0
1.5
1.0
Case number
Valueproduction
1 5 9 13 17 21 25 29 33 37 41 45 49 53 57 61
Fig. 1 : Time plot of tur production data
The above time plot indicated that the given series
is nonstationary. Non-stationarity in mean is corrected
through appropriate differencing of the data. In this case
difference of order 1 was sufficient to achieve stationarity
in mean.
So the most suitable model is ARIMA(1, 1, 1) this
model has the lowest AIC and BIC values.
Model parameters were estimated using SPSS
package. Results of estimation are reported in Table 2.
The model verification is concerned with checking the
residuals of the model to see if they contain any
systematic pattern which still can be removed to improve
on the chosen ARIMA. This is done through examining
the autocorrelations and partial autocorrelations of the
residuals of various orders. For this purpose, the various
correlations upto 16 lags were computed and the same
MODELLING & FORECASTING OF TUR PRODUCTION IN INDIA USING ARIMA MODEL
252-257
4. 255
Hind Agricultural Research and Training Institute
Agric. Update, 12(2) May, 2017 :
Table 2 : Estimates of the fitted ARIMA model
Estimates Std Error t Approx sig
Non- Seasonal lag AR1 -0.139022 0.170830 -0.8138 0.41908686
MA1 0.715422 0.130183 5.49549 0.00000091
Constant 0.018101 0.009625 1.88055 0.06505709
Number of residuals 61
Number of parameters 2
Residual df 58
Adjusted residual sum of squares 4.8710246
Residual sum of squares
Residual variance
5.1143186
0.08271759
Model Std. error 0.28760667
Log-Likelihood -9.4831015
Akaike’s information criteria (AIC) 24.96
Schwarz’s bayesian criterion (BIC) 31.29
Fig. 2 : ACF of differenced data
1.0
.5
0.0
-.5
-1.0
Lag number
ACF
1 3 5 7 9 11 13 15
2 4 6 8 10 12 14 16
Co-efficient
Confidence limits
Fig. 3 : PACF of differenced data
1.0
.5
0.0
-.5
-1.0
Lag number
PACF
1 3 5 7 9 11 13 15
2 4 6 8 10 12 14 16
Co-efficient
Confidence limits
alongwith their significance which istested byBox-Ljung
test are provided in Table 3.As the results indicate, none
of these correlations is significantly different from zero
at a reasonable level. This proves that the selected
ARIMA model is an appropriate model. The ACF and
PACF of the residuals (Fig. 4 and 5) also indicate ‘good
fit’ of the model.
The last stage in the modeling process is forecasting.
ARIMA models are developed basically to forecast the
corresponding variable. There are two kinds of forecasts:
sample period forecasts and post-sample period
forecasts. The former are used to develop confidence in
the model and the latter to generate genuine forecasts
foruse in planningand other purposes.TheARIMAmodel
can be used to yield both these kinds of forecasts. The
residuals calculated during the estimation process, are
considered as the one step ahead forecast errors. The
forecasts are obtained for the subsequent agriculture year
from 2014-15 to 2024-2025.
Conclusion :
In our study, the developed model for tur production
was found to be ARIMA (1,1,1). The forecasts of tur
production, lower control limits (LCL) and upper control
limits (UCL) are presented in Table 4. The validity of
the forecasted values can be checked when the data for
the lead periods become available. The model can be
used by researchers for forecasting of tur production in
India. However, it should be updated from time to time
with incorporation of current data.
This paper discloses the production of tur from1950-
1951 to 2014-2015 and also shows the future movement.
PREMA BORKAR AND V.M. BODADE
252-257
5. 256
Hind Agricultural Research and Training Institute
Agric. Update, 12(2) May, 2017 :
Fig. 4 : ACF of residuals of fitted ARIMA model
1.0
.5
0.0
-.5
-1.0
Lag number
ACF
1 3 5 7 9 11 13 15
2 4 6 8 10 12 14 16
Co-efficient
Confidence limits
Fig. 5 : PACF of residuals of fitted ARIMA model
1.0
.5
0.0
-.5
-1.0
Lag number
PartialACF
1 3 5 7 9 11 13 15
2 4 6 8 10 12 14 16
Co-efficient
Confidence limits
Table 3 : Autocorrelations and partial autocorrelations of residuals
Lag Autocorrelation Std. error Box- Ljung df Sig. Lag Partial autocorrelation Std. error
1 -0.032 0.125 0.067 1.000 0.796 1 -0.032 0.128
2 -0.120 0.124 1.000 2.000 0.607 2 -0.121 0.128
3 0.108 0.123 1.766 3.000 0.622 3 0.101 0.128
4 0.038 0.122 1.861 4.000 0.761 4 0.030 0.128
5 0.168 0.121 3.794 5.000 0.579 5 0.199 0.128
6 0.026 0.120 3.841 6.000 0.698 6 0.036 0.128
7 -0.036 0.119 3.933 7.000 0.787 7 0.004 0.128
8 -0.086 0.117 4.469 8.000 0.813 8 -0.131 0.128
9 0.006 0.116 4.472 9.000 0.878 9 -0.031 0.128
10 -0.155 0.115 6.287 10.000 0.791 10 -0.236 0.128
11 0.021 0.114 6.319 11.000 0.851 11 0.022 0.128
12 0.023 0.113 6.362 12.000 0.897 12 -0.011 0.128
13 -0.178 0.112 8.895 13.000 0.781 13 -0.081 0.128
14 0.021 0.111 8.932 14.000 0.835 14 0.043 0.128
15 0.015 0.109 8.950 15.000 0.880 15 0.060 0.128
16 -0.088 0.108 9.607 16.000 0.886 16 -0.063 0.128
Table 4 : Forecasts for tur production (2015-16 to 2024-2025) (Million Tonnes)
Years Forecasted production Lower limit Upper limit
2015-2016 2.89461 2.26349 3.52574
2016-2017 2.91268 2.26125 3.56411
2017-2018 2.93079 2.25916 3.60242
2018-2019 2.94889 2.25711 3.64067
2019-2020 2.96699 2.25511 3.67887
2020-2021 2.98509 2.25316 3.71703
2021-2022 3.00319 2.25124 3.75514
2022-2023 3.02130 2.24937 3.79322
2023-2024 3.03940 2.24753 3.83127
2024-2025 3.05750 2.24572 3.86928
MODELLING & FORECASTING OF TUR PRODUCTION IN INDIA USING ARIMA MODEL
ACF of residuals PACF of residuals
252-257
6. 257
Hind Agricultural Research and Training Institute
Agric. Update, 12(2) May, 2017 :
To formulate future development plan for tur production,
it is essential to know the previous condition and also
see the future trend. In this study, forecasting is done by
using some sophisticated statistical tools so that the
government and policy makers can easily realize about
the future development of tur production and could take
initiatives to improve the production.
Authors’ affiliations :
V.M. BODADE, Department of Agricultural Economics and Statistics,
Dr. Panjabrao Deshmukh Krishi Vidyapeeth, AKOLA (M.S.) INDIA
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