ARIMA_FIT - ARIMA Model Fitted Values

Returns an array of cells for the in-sample model fitted values of the conditional mean, volatility or residuals.

Syntax

ARIMA_FIT(X, Order, d, mean, sigma, phi, theta, Type)
X
is the univariate time series data (a one dimensional array of cells (e.g. rows or columns)).
Order
is the time order in the data series (i.e. the first data point's corresponding date (earliest date=1 (default), latest date=0)).
Order Description
1 ascending (the first data point corresponds to the earliest date) (default)
0 descending (the first data point corresponds to the latest date)
d
is the degree of the differencing (i.e. d).
mean
is the ARMA model mean (i.e. mu).
sigma
is the standard deviation of the model's residuals/innovations.
phi
are the parameters of the AR(p) component model (starting with the lowest lag).
theta
are the parameters of the MA(q) component model (starting with the lowest lag).
Type
is an integer switch to select the output type: (1=Mean (default), 2=Volatility, 3=Raw Residuals, 4=Standardized Residuals).
Order Description
1 Fitted mean (default)
2 Fitted standard deviation or volatility
3 Raw (non-standardized) residuals
4 Standardized residuals

Remarks

  1. The underlying model is described here.
  2. The time series is homogeneous or equally spaced.
  3. The time series may include missing values (e.g. #N/A) at either end.
  4. The integration order argument (d) must be a positive integer.
  5. The long-run mean can take any value or may be omitted, in which case a zero value is assumed.
  6. The residuals/innovations standard deviation (sigma) must be greater than zero.
  7. For the input argument (phi):
    • The input argument is optional and can be omitted, in which case no AR component is included.
    • The order of the parameters starts with the lowest lag.
    • One or more parameters can be missing or an error code (i.e. #NUM!, #VALUE!, etc.).
    • The order of the AR component model is solely determined by the order of the last value in the array with a numeric value (vs. missing or error).
  8. For the input argument (theta):
    • The input argument is optional and can be omitted, in which case no MA component is included.
    • The order of the parameters starts with the lowest lag.
    • One or more values in the input argument can be missing or an error code (i.e. #NUM!, #VALUE!, etc.).
    • The order of the MA component model is solely determined by the order of the last value in the array with a numeric value (vs. missing or error).
  9. The function was added in version 1.63 SHAMROCK.

 

Files Examples

References

Comments

Article is closed for comments.

Was this article helpful?
0 out of 0 found this helpful