How to get the value of d in p,d,q in ARIMA?
Question
Lost your password? Please enter your email address. You will receive a link and will create a new password via email.
It will take less than 1 minute to register for lifetime. Bonus Tip - We don't send OTP to your email id Make Sure to use your own email id for free books and giveaways
Answer ( 1 )
d stands for the amount of differencing you need to apply to make the time series
stationary.
To get the value of d, you first conduct a Augmented Dicky Fuller Test to check for the
stationarity of the time series. If the time series is not stationary, then you can take differences
along the time series.
Example, t- (t-1) , (t-1) – (t-2)……….
Then, you conduct the ADF test to again to test for stationarity.
You can continue this process until you get the stationarity, but generally it is not recommended
that you take the differences more than 3 times.
You can also use another method which is known as log differencing, where you first make the
log transformation and then take the differences.