ARIMA modeling
Purpose
Description
Macro Synopsis
Modules
Related Functions
References
Purpose
Estimate the coefficients of an ARIMA model
Description
"ARIMA modeling" treats the given signal y as an Auto-Regressive
Integrated Moving Average (ARIMA) process according to
with the input data x passed through a difference filter D times.
This difference filter 
is given by
where N denotes the length of x.
"ARIMA modeling" estimates its model coefficients of the given order and
returns the residual r, i.e. the estimation error signal.
Input parameters are
- order P of the AR process,
- order Q of the MA process and
- integral order D.
The AR and MA coefficients of the estimated model will appear in the
message window.
Macro Synopsis
r = ARIMAmodel(y,P,Q,D);
signal r,y;
int P,Q,D;
Modules
Statistics
Related Functions
AR simulation,
ARIMAX modeling, ARMA model order,
ARMA modeling, ARMA simulation,
ARMA spectral density, ARMAX modeling,
ARMAX simulation, NAR modeling,
NARMA modeling.
References
Ljung [10], Conover [11], Graybill
[12], Hollander/Wolfe [13].