Taking ARIMA of multiple time series at once

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Erik Hakopian
Erik Hakopian 2022-12-18
回答： Rick Baker 2022-12-19
Hello,
I have multiple time series (specifically 360 of them) that I want to use ARIMA on. Because ARIMA is complicated process as you have to look at the ACF and PACF and then choose the best order of AR and MA, look at the significance of each lag variable and the constant and if it needs differentiation or not. Is there a function or a way that does all of this so I can perform them on 360 time series?

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回答（1 个）

Rick Baker
Rick Baker 2022-12-19
You're asking for some sort of automatic lag order or model selection utility, which MATLAB currently doens't offer, at least not in the Econometrics Toolbox.
FYI, the Econometrics Toolbox has all tools (ACF, PACF, integration tests, etc.) to do this, but the is no pre-written function to do it for you.
That said, it's possible that someone on this site has contributed code that might help.

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