Returns the confidence interval limits of the conditional mean forecast.
Syntax
AIRLINE_FORECI ([x], order, µ, σ, s, θ, θs, t, return, α)
- [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). - µ
- Optional. Is the model mean (i.e., mu) or the long run mean of the differenced time series.
- σ
- Required. Is the standard deviation of the model's residuals/innovations.
- S
- Required. Is the length of seasonality (expressed in terms of lags, where s 1).
- θ
- Optional. Is the coefficient of the non-seasonal MA component (see model description).
- θs
- Optional. Is the coefficient of the seasonal MA component (see model description).
- T
- Required. Is the forecast time/horizon (expressed in terms of steps beyond the end of the time series).
- α
- Optional. Is the statistical significance level (i.e., alpha). If missing or omitted, an alpha value of 5% is assumed.
- Return
- Optional. If true, returns the upper confidence interval limit. Otherwise, returns the lower limit.
Value Return 0 Returns the lower limit. 1 Return the upper limit.
Warning
AIRLINE_FORECI(.) function is deprecated as of version 1.63: use AIRLINE_FORE(.) 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.
Files Examples
Related Links
References
- 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.
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