karthickrajas / Time-series-in-Python

Model ARMA process for stock price and compare it with RNN results

Time-series-in-Python

Model ARMA process for stock price and compare it with RNN results

Process for ARMA/ARIMA models

• Analyzing Time Series Data
• Test for Random Walk
• Take first differences
• Compute ACF and PACF
• Fit a few AR, MA, and ARMA models
• Use Information Criterion to choose best model ( AIC, BIC )
• Forecast Time series over the past data