Time series forecasting. Error with ARIMA model.

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Jan Kostrzewa
Jan Kostrzewa 2015-7-6
评论： Brendan Hamm 2015-7-6
Hello. I have really strange situation. I have such simple code
train_set = [1569;1062;2294;3239;1852;1274;3423;3623;1596]
Mdl = arima(2,0,2);
EstMdl = estimate(Mdl,train_set,'Display','off');
and I get error
Error using arima/validateModel (line 1314)
The non-seasonal moving average polynomial is non-invertible.
Error in arima/setLagOp (line 391)
Mdl = validateModel(Mdl);
Error in arima/estimate (line 1183)
Mdl = setLagOp(Mdl, 'MA' , LagOp([1 coefficients(iMA)' ], 'Lags', [0 LagsMA
]));
I thought that this is becase train_set vector is too short... but for train_set = [1;2;3;4;5;6;7;8;9] or train_set = sin(1:9).' or many others vectors everything works perfect. If I multiplay this vector by train_set = [train_set ; train_set ] it works fine too. Do anybody knows how it is possible ? How to ommit this error ?
  1 个评论
Brendan Hamm
Brendan Hamm 2015-7-6
I am not able to reproduce your error:
train_set = [1569;1062;2294;3239;1852;1274;3423;3623;1596];
Mdl = arima(2,0,2);
EstMdl = estimate(Mdl,train_set)
Warning: Nonlinear inequality constraints are active; standard errors may be
inaccurate.
> In arima/estimate (line 1113)
ARIMA(2,0,2) Model:
--------------------
Conditional Probability Distribution: Gaussian
Standard t
Parameter Value Error Statistic
----------- ----------- ------------ -----------
Constant 3756.93 1674.45 2.24368
AR{1} 0.156784 0.941963 0.166444
AR{2} -0.85079 0.320351 -2.65581
MA{1} 0.747326 0.937987 0.796734
MA{2} -0.252674 1.43229 -0.176413
Variance 124140 209476 0.592619
EstMdl =
ARIMA(2,0,2) Model:
--------------------
Distribution: Name = 'Gaussian'
P: 2
D: 0
Q: 2
Constant: 3756.93
AR: {0.156784 -0.85079} at Lags [1 2]
SAR: {}
MA: {0.747326 -0.252674} at Lags [1 2]
SMA: {}
Variance: 124140

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