ARIMA BIC LOOP including "zero"

Question

polar 2016-11-30

0
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此问题的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/314740-arima-bic-loop-including-zero

评论： Brendan Hamm 2016-11-30

Hi, I found a script aimed to find the best arima(p,0,d) model as the one with the lowest BIC(or AIC) value in order to use a trading strategy based on ARIMA/GARCH model.

Here I report the code found (including my data):

Currency=xlsread('EURUSD.xls','exchange','A:B');

eur=Currency;

LOGL = zeros(4,4);

PQ = zeros(4,4);

for p = 1:4

    for q = 1:4
        mod = arima(p,0,q);
        [fit,~,logL] = estimate(mod,eur,'print',false);
        LOGL(p,q) = logL;
        PQ(p,q) = p+q;
    end

end

LOGL = reshape(LOGL,16,1);

PQ = reshape(PQ,16,1);

[~,bic] = aicbic(LOGL,PQ+1,100);

reshape(bic,4,4)

Ok, it works but in my case, I had already found out that an ARIMA (1,0,0) was the best fit,so my target is to include the "zero" value for "p" or "q" for future needs. The problem is that when p AND q are both zero, it clearly shows error. So I started using "continue" to skip the arima(0,0,0) and compute all other ones but...I always failed (I'm very poor in programming). If someone can help me.... ps: I'm helping myself with a "R" script but obviously I'm using Matlab :-)

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Answer 1

Brendan Hamm 2016-11-30

0
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此回答的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/314740-arima-bic-loop-including-zero#answer_245361

在 MATLAB Online 中打开

If you changed the loop to start at 0, you are trying to index LOGL and PQ at the index 0 which does not exist. MATLAB starts indexing at 1.

First pre-allocate the additional space:

LOGL = zeros(5,5);
PQ = zeros(5,5);

Error:

for p = 0:4
      for q = 0:4
          mod = arima(p,0,q);
          [fit,~,logL] = estimate(mod,eur,'print',false);
          LOGL(p,q) = logL;
          PQ(p,q) = p+q;
      end 
  end

So increase the indices by 1.

No Error:

   for p = 0:4
        for q = 0:4
            mod = arima(p,0,q);
            [fit,~,logL] = estimate(mod,eur,'print',false);
            LOGL(p+1,q+1) = logL; % Index at the next row/col
            PQ(p+1,q+1) = p+q; % Index at the next row/col
        end 
    end