ARIMA model estimation problem

Vardan Petrosyan

2016 3 13

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Hi all, I want to estimate ARIMA model params, but as I understand I need an initial model,how I must choose that model? And how to check is the estimated model correct,or not?

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Rakesh Chavan 2016-3-18

Hi,

In order to determine the model parameters you would need to have some information on the time series you are working with. The following external link provides some information on choosing the model:

http://people.duke.edu/~rnau/411arim.htm

You will get the standard error along with the distribution from the ARIMA model with 'estimate' command. In addition you can use either 'simulate' or 'forecast' to check behavior of the model.

Hope this helps

regards

Rakesh

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