A forecaster with three knobs. AR(p): depends on its own past. I(d): differencing to remove trend. MA(q): how past shocks linger.
True data-generating processARIMA(1, 1, 1)
Your modelARIMA(1, 1, 1)
MAE (in-sample)—
RMSE (in-sample)—
1
1
1
0.60
0.50
Try to match the truth. The blue series was generated by a fixed true ARIMA model (shown above) and stays the same as you slide. Move your model's sliders to make the orange fit hug the blue — when (p, d, q) and φ, θ match the truth, MAE/RMSE drop sharply. Click Resample to draw a new dataset from the same truth.