ARMA_MEAN - ARMA fitted values of conditional mean

Returns an array of cells for the fitted values of the conditional mean.

Syntax

ARMA_MEAN(X, Order, mean, sigma, phi, theta)

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)).

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).

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).

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 ARMA model fitted values are defined as: $$\hat x_t = \mu + \sum_{i=1}^p \phi_i x_{t-i} + \sum_{j=1}^q \theta_j a_{t-j}$$ Where:
   • $\hat x_t$ is the fitted model value (i.e. conditional mean) at time $t$. $$1\leq t \leq T$$
   • $T$ is the number of non-missing values in the data sample.
5. The number of parameters in the input argument - phi - determines the order of the AR component.
6. The number of parameters in the input argument - theta - determines the order of the MA component.

Files Examples

Related Links

• Wikipedia - Autoregressive moving average model.

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 Reisel; 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.