ARMA forecasting
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Hello all. I have a time series, and I have to apply the four steps of ARMA estimation ( chose the orders, compute the coefficients of the suitable ARMA model), and after that I have to predict the next 10 values. I am a beginer in this domain, and I have insatlled the Matlab 2010b. Thank you for your Help
5 个评论
Walter Roberson
2012-4-16
http://www.mathworks.com/matlabcentral/answers/29922-why-your-question-is-not-urgent-or-an-emergency
Wayne King
2012-4-16
Hi Marina, do you have the System Identification Toolbox?
Marina
2012-4-17
hamed Aghapanah
2019-10-5
Dear,
Can it forcasting a stochastic signal?
Abolfazl Nejatian
2020-12-10
this is my forcasting code which is allow you predict your time series data with LSTM, CNN, and MLP Networks.
回答（1 个）
Rajiv Singh
2012-4-16
1 个投票
Use ARMAX function in System Identification Toolbox to estimate an ARMA model, as in model = arma(data, [na nc])
In R2012a: use FORECAST function to forecast the response. See http://www.mathworks.com/help/toolbox/ident/ref/forecast.html
2 个评论
Marina
2012-4-17
Rajiv Singh
2012-4-17
System identification toolbox has no automated way for you to pick na/nc. The ARXSTRUCT/SELSTRUC commands let you for this for a ARX model structure. You could subject your data to this command and determine "na" that way. Then you can pick nc<=na as a start. The "optimal" values of na and nc orders are ultimately going to be those for which the prediction errors are minimized against a validation data set.
See COMPARE and RESID commands. The most basic test of optimality would be that the 1-step ahead prediction fit to validation data is maximized, as revealed in the COMPARE plot.
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2020-12-10
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