Automatic ARIMA model identification in MATLAB (like auto.arima in R)

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Jonas
Jonas 2016-3-1
评论： Nicholas 2025-6-27
Is there a function in MATLAB to identify a suitable ARIMA model like it does in R (function of auto.arima in package forecast) or in other commercial forecasting products?

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回答（1 个）

Roger Wohlwend
Roger Wohlwend 2016-3-2
No, there is no such function. You can identify a suitable model with the Information criterions (AIC and BIC).
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Sinan Islam
Sinan Islam 2023-11-18
Doesnt estimate do the same purpose as auto arima in R?
https://www.mathworks.com/help/econ/arima.estimate.html
Nicholas
Nicholas 2025-6-27
No, an auto ARIMA function would not need any pre-specification of the p,d, q parameters. It would function like TimeSeriesModelFit https://reference.wolfram.com/language/ref/TimeSeriesModelFit.html in Wolfram for example.
Interestingly, when asked, CoPilot invents such a function (autoARIMA) but when one looks in the Econometrics toolbox it sadly doesn't exist. The code (that is apparently being hallucinated) is
% Load example data (e.g., airline passenger data)
load Data_Airline
y = log(Data); % Log-transform the data for stabilization
% Automatically fit an ARIMA model
Mdl = autoARIMA(y);
% Display the estimated model
disp(Mdl);

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