ARIMA Model for M5 Demand Forecasting

Overview

Model Details

• Architecture: ARIMA(3,1,1) with trend
• Training Data: 1,913 days of aggregated daily sales
• Test Period: 28 days (2016-04-25 to 2016-05-22)
• Differencing: d=1 (first differencing required for stationarity)

Stationarity Test

• ADF Statistic: -1.565373
• p-value: 0.500960
• Original data non-stationary; first differencing achieves stationarity

Performance

Key Features

• AR component: 3 autoregressive terms
• I component: 1st order differencing (d=1)
• MA component: 1 moving average term
• Trend term: 't' (deterministic trend)

Usage

Notes

• Simplest model but requires manual order selection
• No seasonal component (SARIMAX handles this better)
• Good baseline but underperforms compared to Prophet and SARIMAX
• Smallest model file (6.5MB) due to no seasonal components