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ARIMA model comparison clarified: State-space formulation removes differencing constraint

By PulseAugur Editorial · [1 sources] ·

A discussion on LinkedIn highlighted a nuance in comparing ARIMA models using information criteria, specifically regarding the order of differencing. While conventional ARIMA models require identical differencing orders for valid comparison, this constraint is reportedly eliminated when using a state-space formulation. This distinction is explained further in a linked article. AI

IMPACT Clarifies a technical detail in time-series modeling, potentially impacting how researchers and practitioners compare ARIMA models.

RANK_REASON The item discusses a technical point about statistical modeling, referencing a comment on LinkedIn and a blog post, which falls under commentary on a technical topic.

Read on Mastodon — sigmoid.social →

AI-generated summary · Google Gemini · from 1 sources. How we write summaries →

ARIMA model comparison clarified: State-space formulation removes differencing constraint

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COVERAGE [1]

  1. Mastodon — sigmoid.social TIER_1 English(EN) · [email protected] ·

    A reader left a comment under the MSARIMA post on LinkedIn saying that in order to compare ARIMAs via information criteria, we need to make sure that the candid

    A reader left a comment under the MSARIMA post on LinkedIn saying that in order to compare ARIMAs via information criteria, we need to make sure that the candidate models have the same order of differencing. They are right — for the conventional ARIMA. BUT! In the state space for…

    LINKS openforecast.org/…/on-differencing-of-ari…

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