Matlab arima estimate error
4 Ansichten (letzte 30 Tage)
Ältere Kommentare anzeigen
I am working on fitting a time series of data using arima model. I applied the AIC BIC selection process by looping the P and Q order from 0 to 4 for each one. However I found that in some iterations the model fitted is not corresponding to the model that I set. For example when I created a mod of ARIMA(3,0,1) by "mod=arima(3,0,1)" and then I estimate it using "estimate(mod,Y)", it gave me a fitting of ARIMA(0,0,1), which is not the one I expected. So turns out it gives the same AIC and BIC as the one fitted with ARIMA(0,0,1) and hence failed to select the right model.
Your help is appreciated.
0 Kommentare
Antworten (1)
Hang Qian
am 30 Aug. 2017
I guess that the lower bound constraints become effective under some model specifications. When the estimated model has a reduced order, the higher order coefficients might be zeros. When reduction occurs, I think there will be some warning messages shown on the screen.
0 Kommentare
Siehe auch
Kategorien
Mehr zu Conditional Mean Models finden Sie in Help Center und File Exchange
Produkte
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!