How to specify a Seasonal ARIMA model?

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Dinuka Kankanige 2023-7-1

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评论： Dinuka 2024-4-16

How to specify a seasonal ARIMA model with 1 AR term, 1 SAR term with seasonality = 12, and seasonal differencing = 1 (differencing=0, MA=0, SMA=0) using arima?

* Using ARIMA model notations, model specification is arima(1, 0, 0)(1, 1, 0)x12

(R2023a)

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Answer 1

Shivam Lahoti 2024-2-18

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Hi Dinuka,

To specify a seasonal ARIMA model with the given parameters in MATLAB (R2023a), you can use the 'arima' function as follows:

model = arima('ARLags',1, 'D',0, 'MALags',[], 'SARLags',12, 'Seasonality',12, 'SMALags',[], 'D',1);

In this model specification:

'ARLags',1 specifies the non-seasonal AR term at lag 1.
'D',0 sets the non-seasonal differencing order to 0.
'MALags',[] indicates no non-seasonal MA terms.
'SARLags',12 sets the seasonal AR term at lag 12 (which corresponds to the seasonal period).
'Seasonality',12 defines the number of periods in a season (indicating monthly data if 12).
'SMALags',[] indicates no seasonal MA terms.
'D',1 (the second 'D' in the argument list) sets the seasonal differencing order to 1, which is part of the seasonal component of the model.

This will create an ARIMA(1,0,0)(1,1,0)_12 model as you described. To understand more about the 'arima' function, kindly refer to the following documentation:

https://www.mathworks.com/help/econ/arima.html

I hope it was helpful.

Regards,

Shivam.

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Dinuka 2024-4-16

@Shivam Lahoti Thanks for the answer. This helps.

Dinuka 2024-4-16

@Shivam Lahoti Please note that this doesn't appear to me as an 'Answer' and 'Accept' option is not enabled for me. If this appears as an Answer, I'll accept it.

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