Can anyone explain the number for each parameter in SARIMA?
For Samira is decompose (p,d,q) and (P, D, Q) with the seasonal.
AR(0) or p = 1.
The time serie does not depend on time spent.
d = 1
cov(Xt, Xt-1) = No Constant.
The serie is stationnary with one differentiable.
Yt = Xt - Xt-1
cov(Xt, Yt) = Constant
AM(1). The times serie depend a one random evenement.
idem for seasonal.
For exemple (P,D,Q)12 months, you have for every year.
P = 2
The time serie by Years(month) depend Year-1(month) and Year-2(month).
With july, you have July 2021 depend July 2020 and July 2019 but with AR(0) July 2021 not depend of June
D = 0 The procesus is stationnary.
cov(month 2021, month 2020) = constant for every months.
Q = 2
The time serie depend a random event with mean equal 0 (Noise white), exemple :
July 2021 depend event at July 2020 and July 2019, and for all month you have month 2021 depend event same month 2020 and same month 2019.
Best regard,
I used auto_arima function with seasonality to forecast covid19 and got ARIMA(0,1,1)(2,0,2)
Can anyone explain me the reason for each parameter (p,d,q)(P,D,Q)?
(Ex: why AR is 0 meanwhile SAR is 2)