Computes the goodness of fit measure (e.g., log-likelihood function (LLF), AIC, etc.) of the estimated ARIMA model.

## Syntax

**ARIMA_GOF** (**[x]**, order, **d**, µ, **σ**, [φ], [θ], return)

**[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). **D**- Required. Is the integration order.
**µ**- Optional. Is the ARMA model long-run mean (i.e., mu). If missing, the process mean is assumed to be zero.
**σ**- Required. Is the standard deviation value of the model's residuals/innovations.
**[φ]**- Optional. Are the parameters of the AR(p) component model: [φ1, φ2 … φp] (starting with the lowest lag).
**[θ]**- Optional. Are the parameters of the MA(q) component model: [θ1, θ2 … θq] (starting with the lowest lag).
**Return**- Optional. Is an integer switch to select the goodness of fitness measure: (1 = LLF (default), 2 = AIC, 3 = BIC, 4 = HQC).
Value Return 1 Log-Likelihood Function (LLF) ( **default**).2 Akaike Information Criterion (AIC). 3 Schwarz/Bayesian Information Criterion (SIC/BIC). 4 Hannan-Quinn information criterion (HQC).

## Remarks

- The underlying model is described here.
- The Log-Likelihood Function (LLF) 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.
- The ARMA model has independent and normally distributed residuals with constant variance. The ARMA log-likelihood function becomes:$$\ln L^* = -T\left(\ln 2\pi \hat \sigma^2+1\right)/2$$
Where:

- $\hat \sigma$ is the standard deviation of the residuals.

- The maximum likelihood estimation (MLE) is a statistical method for fitting a model to the data and providing estimates for the model's parameters.
- The integration order argument (d) must be a positive integer.
- The long-run mean can take any value or may be omitted, in which case a zero value is assumed.
- The residuals/innovations standard deviation (σ) must be greater than zero.
- For the input argument ([φ]):
- The input argument is optional and can be omitted, in which case no AR component is included.
- The order of the parameters starts with the lowest lag.
- One or more parameters can be missing or an error code (i.e., #NUM!, #VALUE!, etc.).
- The order of the AR component model is solely determined by the order of the last value in the array with a numeric value (vs. missing or error).
- For the input argument ([θ]):
- The input argument is optional and can be omitted, in which case no MA component is included.
- The order of the parameters starts with the lowest lag.
- One or more values in the input argument can be missing or an error code (i.e., #NUM!, #VALUE!, etc.).
- The order of the MA component model is solely determined by the order of the last value in the array with a numeric value (vs. missing or error).
- The function was added in version 1.63 SHAMROCK.

## 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.

## Comments

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