SARIMA

Understanding SARIMA

To review, SARIMA combines multiple time series components—seasonality, autoregression, integration, and moving average. The full model is defined by its order, which will represent the parameters for each of these components—$(p, d, q)(P, D, Q)$. The lowercase letters $p$, $d$, and $q$ represent the orders for autoregression, integration, and moving average, respectively. The uppercase letters $P$, $D$, and $Q$ represent the seasonal orders for each of these same components.

We might wonder how exactly to define the model order. There is no hard rule, but we can try a general framework that works well. For that, we need to address each component separately, starting with $d$ and $D$, which depend on the stationarity of our data.

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