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

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

Syntax

AIRLINE_GUESS ([x], order, s)

[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).

S

Required. Is the length of seasonality (expressed in terms of lags, where s 1). 

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. AIRLINE_GUESS returns the model's parameters in the following order:
1. $\mu$.
2. $\theta$.
3. $\Theta$.
4. $\sigma$.
5. The AIRLINE_GUESS sets the $\mu$ and $\sigma$ equal to the differenced (i.e., $Z_t=(1-L)(1-L^s)Y_t$) sample average, and standard deviation respectively, and it sets the $\theta = 0$ and $\Theta=0$.

Files Examples

Related Links

• Wikipedia - Akaike's Information Criterion (AIC).
• Wikipedia - Autoregressive moving average model.

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.