Returns an array of cells for the initial/quick guess of the model's parameters.
Syntax
ARMA_GUESS ([x], order, p, q)
- [X]
- Required. Is the univariate time series data (a one-dimensional array of cells (e.g., rows or columns)).
- Order
- Optional. Is the time order in the data series (i.e., the first data point's corresponding date (earliest date = 1 (default), latest date = 0)).
Value Order 1 Ascending (the first data point corresponds to the earliest date) (default). 0 Descending (the first data point corresponds to the latest date). - P
- Optional. Is the AR component order of the model.
- Q
- Optional. Is the MA component order of the model.
Warning
ARMA_GUESS(.) function is deprecated as of version 1.63: use ARMA_PARAM(.) function instead.
Remarks
- The underlying model is described here.
- The time series is homogeneous or equally spaced.
- The time series may include missing values (e.g., #N/A) at either end.
- ARMA_GUESS returns the model's parameters in the following order:
- $\mu$.
- $\phi_1,\phi_2,...,\phi_p$.
- $\theta_1,\theta_2,...,\theta_q$.
- $\sigma$.
Files Examples
Related Links
References
- D. S.G. Pollock; Handbook of Time Series Analysis, Signal Processing, and Dynamics; Academic Press; Har/Cdr edition(Nov 17, 1999), ISBN: 125609906.
- James Douglas Hamilton; Time Series Analysis, Princeton University Press; 1st edition(Jan 11, 1994), ISBN: 691042896.
- Tsay, Ruey S.; Analysis of Financial Time Series, John Wiley & SONS; 2nd edition(Aug 30, 2005), ISBN: 0-471-690740.
- Box, Jenkins and Reinsel; Time Series Analysis: Forecasting and Control; John Wiley & SONS.; 4th edition(Jun 30, 2008), ISBN: 470272848.
- Walter Enders; Applied Econometric Time Series; Wiley; 4th edition(Nov 03, 2014), ISBN: 1118808568.
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