Fluorite | Level 6

## time series

Hi!

How can I interpret the seasonal ARIMA Model (0,1,1)(1,0,0)[12] ?

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Accepted Solutions
SAS Employee

## Re: time series

The P=1 for the seasonal part of the model means that the current observation is correlated with themselves at lag = number of periods in the season.

For example, if you are using monthly data then the current observation is correlated to itself at lag = 12.

Likewise, if you are using quarterly data, then the auto-correlation would be at lag = 4.

3 REPLIES 3
SAS Employee

## Re: time series

Hi @bara ,

The model, ARIMA(0,1,1)(1,0,0)12, represents a seasonal ARIMA model with a:

• first non-seasonal difference,
• first-order non-seasonal moving average term, and
• first-order seasonal autoregressive term.

The seasonal index for your model is 12, which is typically used for monthly time series.

In general, ARIMA models are described as:  ARIMA(p,d,q)(P,D,Q)s.  The lowercase p, d, q represent the non-seasonal autoregressive (p), differencing (d), and moving average (q) orders, respectively.   The uppercase P, D, Q represent the seasonal autoregressive (P), differencing (D) and moving average (Q) orders, respectively.

I hope this helps!

DW

Fluorite | Level 6

## Re: time series

@dw_sas  thanks,

p=1 in the non seasonal ARIMA part indicates that the  current observations of the series are correlated with themselves at lag 1

what is mean if P=1 in the seasonal ARIMA part ?

SAS Employee

## Re: time series

The P=1 for the seasonal part of the model means that the current observation is correlated with themselves at lag = number of periods in the season.

For example, if you are using monthly data then the current observation is correlated to itself at lag = 12.

Likewise, if you are using quarterly data, then the auto-correlation would be at lag = 4.

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