finding best value for ARIMA (p,d,q) model?

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ANURAG DEEPAK
ANURAG DEEPAK 2020-1-30
评论： Hamed Majidiyan 2022-3-7
function ar = checkarma(y,pp,dd,qq)
LOGL = zeros(pp+1,dd+1,qq+1);
PQ = zeros(pp+1,dd+1,qq+1);
for p = 1:pp+1
for d = 1:dd+1
for q = 1:qq+1
mod = arima(p-1,d-1,q-1)
[fit,~,logL] = estimate(mod,y,'print',false);
LOGL(p,d,q) = logL;
PQ(p,d,q) = p+d+q;
end
end
end
LOGL = reshape(LOGL,(pp+1)*(qq+1)*(dd+1),1);
PQ = reshape(PQ,(pp+1)*(qq+1)*(dd+1),1);
[~,bic] = aicbic(LOGL,PQ+1,100);
ar = reshape(bic,pp+1,qq+1,dd+1);
Sir, i have a univariate time-series y having 10 values and i want to estimate optimum (p,d,q) values for ARIMA model.... it is giving error 'print is not a recongnized parameter'.
  1 个评论
Darren Lim
Darren Lim 2021-3-3
Hi Anurag,
I am pretty new to matlab , may i know how do i get the best p , d and q from the matrix ar ? Thx!
i try to use min(ar) and get the below result in my sample test.
(:,:,1) =
805.4103 811.6983 882.3894
(:,:,2) =
809.4923 815.7831 831.8577
(:,:,3) =
813.9255 820.2356 833.2110
but i am not sure how it translate to get the best p , d and q, thanks!
Darren

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采纳的回答

Divya Gaddipati
Divya Gaddipati 2020-2-11
The estimate function doesn't have "print" as a Name-Value pair argument.
Instead, you can use something like this to turn off displaying the result from the function:
[fit, ~, logL] = estimate(mod, y, 'Display', 'off');
Hope this helps!
  2 个评论
Hamed Majidiyan
Hamed Majidiyan 2022-3-7
Hi Divya,
I ran the code and I got the following results, even though I don't know how to intrepret the outcomes, so any help would be highly appreciated
ARMA=checkarma(datac_chunk,2,1,2)
ARMA(:,:,1) =
1.0e+05 *
-0.9306 -1.7988 -0.9305
-1.7988 -2.5917 -1.6927
-2.6918 -3.0212 -0.0683
ARMA(:,:,2) =
1.0e+05 *
-1.7987 -0.9305 -1.7987
-2.5914 -1.6966 -2.5907
-1.7986 -1.5608 -3.1177

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