TS Factory - need of differencing before ?

Question

Hi all,

I've learned in the Udacity TS courses that it's better to difference the TS before plugging it in an ARIMA tool. I have about 100 hundreds TS to forecast so I wanted to use the factory tools from the gallery. All my TS are very seasonal. For better results with the TS factory tools, is it better to input the TS itself or the differenced TS ?

Thanks,

Best,

gilles

TonyM · Accepted Answer

Hi @gmerce,

If you are using the "Auto" feature of the ARIMA tool then there will be no need to difference the data ahead of time! The ARIMA tool, when set to auto, will calculate how many times it takes to difference the data in order to make it stationary, AND, it will also caluculate the ARIMA model with the lowest AIC value.

ARIMA set to "Auto" will not have any of the check boxes for customizing parameters.

If you would rather set your model manually, then I would use a Multi-Row Formula tool to first difference the data in order to make it stationary. The number of times it takes to stationarize the data is set with the d (nonseasonal) and D (seasonal) parameters.

Either option you will want to send the original data into the tool. Alteryx's TS tools use the Auto d and D parameters to calculate differencing within the tool itself.

Hope this helps and that you are enjoying the Udacity course!