ARMA_FORESD - Forecasting Error of ARMA Model

Calculates the estimated error/standard deviation of the conditional mean forecast.

Syntax

ARMA_FORESD(X, Order, mean, sigma, phi, theta, T)
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)).
Order Description
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).
T
is the forecast time/horizon (expressed in terms of steps beyond the end of the time series).

Remarks

  1. The underlying model is described here.
  2. Warning: ARMA_FORESD() function is deprecated as of version 1.63: use the ARMA_FORE function instead.

  3. The time series is homogeneous or equally spaced.
  4. The time series may include missing values (e.g., #N/A) at either end.
  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.

Examples

Example 1:

 
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
A B C D
Date Data    
1/1/2008 -0.30 ARMA  
1/2/2008 -1.28 Mean -0.00258
1/3/2008 0.24 Sigma 0.14
1/4/2008 1.28 Phi_1 -0.236
1/5/2008 1.20 Theta_1 -5.60E-05
1/6/2008 1.73    
1/7/2008 -2.18    
1/8/2008 -0.23    
1/9/2008 1.10    
1/10/2008 -1.09    
1/11/2008 -0.69    
1/12/2008 -1.69    
1/13/2008 -1.85    
1/14/2008 -0.98    
1/15/2008 -0.77    
1/16/2008 -0.30    
1/17/2008 -1.28    
1/18/2008 0.24    
1/19/2008 1.28    
1/20/2008 1.20    
1/21/2008 1.73    
1/22/2008 -2.18    
1/23/2008 -0.23    
1/24/2008 1.10    
1/25/2008 -1.09    
1/26/2008 -0.69    
1/27/2008 -1.69    
1/28/2008 -1.85    
1/29/2008 -0.98    
Formula Description (Result)
=ARMA_FORE($B$2:$B$30,1,$D$3,$D$4,$D$5,$D$6,1) The conditional mean forecast value at T+1 (0.228)
=ARMA_FORESD($B$2:$B$30,1,$D$3,$D$4,$D$5,$D$6,1) The conditional mean forecast error at T+1 (0.140)

 

Files Examples

References

Comments

Article is closed for comments.

Was this article helpful?
0 out of 0 found this helpful