What should be the dimension of the 'X' matrix when fitting a ARIMAX(p,q) model?

1 次查看（过去 30 天）
Ali Fathi Baghbadorani
编辑： Gowtham Uma M Jaganathan 2016-10-28
I'm Fitting an ARIMAX(p,q) model to a time series data with one exogenous variable. What should be the length of the 'X' matrix that I need to specify?
Thanks!

请先登录，再回答此问题。

采纳的回答

Gowtham Uma M Jaganathan
编辑：Gowtham Uma M Jaganathan 2016-10-28
I believe that in your question, 'X' corresponds to the exogenous predictor variable.
If you do not specify presample response data, then the number of rows of X must be at least numel(y,2) + Mdl.P. Where 'y' is Single path of response data and Mdl.P is the ARIMAX model. Otherwise, the number of rows of X should be at least the length of y.
If the number of rows of X exceeds the number necessary, then "estimate" function uses the latest observations and synchronizes X with the response series y.
All the above mentioned information are documented in the link below:
https://www.mathworks.com/help/econ/arima.estimate.html

更多回答（0 个）

类别

在 Help Center 和 File Exchange 中查找有关 Resampling Techniques 的更多信息

标签

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by