Data Science Asked by Nikola on March 29, 2021
I’m reading some code involving auto.arima
method from the forecast
package in R. What I’m curious is whether there is a necessity for decomposing the time series data into seasonal, trend and stochastic compoents before passing to the auto.arima
method, or is it automatically handled by the functionality of the method?
Thanks in advance!
Yes, the aim of auto.arima
is for fitting ARIMA models automatically. You do not need to decompose your time series before hand. See how the algorithm works here https://otexts.com/fpp3/arima-r.html.
You may still want to look at arguments available in the auto.arima
function, and you may want to change default maximum values for p
, q
, and d
, etc.
Correct answer by Suren on March 29, 2021
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