ARMA_GUESS - Initial Values (Guess) for Model's Parameters

Returns an array of cells for the initial/quick guess of the model's parameters.

 

Syntax

ARMA_GUESS(X, Order, p, q)

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)

p is the AR component order of the model.

q is the MA component order of the model.

 

Remarks

  1. The underlying model is described here.
  2. Warning: ARMA_GUESS() function is deprecated as of version 1.63: use ARMA_PARAM function instead.
  3. The time series is homogeneous or equally spaced.
  4. The time series may include missing values (e.g. #N/A) at either end.
  5. ARMA_GUESS returns the model's parameters in the following order:
    1. $\mu$
    2. $\phi_1,\phi_2,...,\phi_p$
    3. $\theta_1,\theta_2,...,\theta_q$
    4. $\sigma$

Files Examples

References

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