ARMA_FORECI - Forecasting confidence interval of ARMA Model

Returns the confidence interval limits of the conditional mean forecast.

Syntax

ARMA_FORECI(X, Order, Mean, sigma, phi, theta, T, alpha, Upper)

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)).
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).
Mean
is the 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).
alpha
is the statistical significance level. If missing, a default of 5% is assumed.
Upper
If true, returns the upper confidence interval limit. Otherwise, it returns the lower limit.
Value Upper
0 Returns the lower limit.
1 Returns the upper limit.

 Warning

ARMA_FORECI() function is deprecated as of version 1.63: use the ARMA_FORE function instead.

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. The number of parameters in the input argument - phi - determines the order of the AR component.
  5. The number of parameters in the input argument - theta - determines the order of the MA component.

Files Examples

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References

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