r - Using package ‘forecast’ version 3.22 auto.arima -

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i used auto arima , have got result this:

series: jmb  arima(5,1,4)(2,0,2)[96] drift           coefficients:          ar1     ar2      ar3     ar4      ar5      ma1      ma2     ma3      ma4       1.3100  0.2710  -1.0215  0.5572  -0.1527  -0.8652  -0.6309  0.7686  -0.2520 s.e.  0.1384  0.1974   0.0752  0.1208   0.0334   0.1389   0.1371  0.0960   0.0797         sar1    sar2     sma1     sma2   drift       0.5959  0.4010  -0.4792  -0.4338  0.0005 s.e.  0.0382  0.0381   0.0388   0.0363  0.0183  sigma^2 estimated 0.01521:  log likelihood=9835.91 aic=-19636.59   aicc=-19636.56   bic=-19522.77 > plot(forecast(fit,h=96), xlim=c(120,155) ) warning message: in sqrt(z[[2]] * object$sigma2) : nans produced , can not use plot (...) funktion.

in addition warning, residual big.

may auto arima create wrong model, , how can improve model?

seasonal arima models not work when seasonal period large. have seasonal period of 96 way bigger use these types of models. see my blog post on issue.

a few other minor points:

  • if warning, suggests there problem worth investigating. in case, nans coming from?
  • you residuals "too big". on grounds claim that? big if contain structure should have been modelled.
  • please provide minimal reproducible examples when asking questions, , check formatting before posting.

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