NumXL Support Desk

ARMA_PARAM - Values of the Model's Parameters

Returns an array of cells for the quick guess, optimal (calibrated) or std. errors of the values of the model's parameters.

 

Syntax

ARMA_PARAM(X, Order, mean, sigma, phi, theta, Type, maxIter)

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 long-run 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).

Type is an integer switch to select the output array: (1=Quick Guess (default), 2=Calibrated, 3=Std. Errors).

Order Description
1 Quick guess (non-optimal) of parameters values (default)
2 Calibrated (optimal) values for the model's parameters
3 Standard error of the parameters' values

maxIter is the maximum number of iterations used to calibrate the model. If missing, the default maximum of 100 is assumed.

 

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. ARMA_PARAM returns an array for the values (or errors) of the model's parameters in the following order:
    1. $\mu$
    2. $\phi_1,\phi_2,...,\phi_p$
    3. $\theta_1,\theta_2,...,\theta_q$
    4. $\sigma$
  5. The function was added in version 1.63 SHAMROCK.

Files Examples

References

< ARMA_CHECK - Check parameters' values for model stability Up ARMA_GUESS - Initial Values (Guess) for Model's Parameters >
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