Automatic ARIMA model identification in MATLAB (like auto.arima in R)

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Jonas
Jonas 2016 年 3 月 1 日
コメント済み: Sinan Islam 2023 年 11 月 18 日
Is there a function in MATLAB to identify a suitable ARIMA model like it does in R (function of auto.arima in package forecast) or in other commercial forecasting products?

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回答 (1 件)

Roger Wohlwend
Roger Wohlwend 2016 年 3 月 2 日
No, there is no such function. You can identify a suitable model with the Information criterions (AIC and BIC).
  2 件のコメント
Jonas
Jonas 2016 年 3 月 4 日
There is some useful functions in System Identification Toolbox like " arx", that can find polynomial degree "p" of AR model.
  • Can it help me to identify AR-part of ARMA/ARIMA model?
  • And maybe SIT (Toolbox) contain other interesting function that can help to identify "p" and "q" for ARMA model?
Sinan Islam
Sinan Islam 2023 年 11 月 18 日
Doesnt estimate do the same purpose as auto arima in R?
https://www.mathworks.com/help/econ/arima.estimate.html

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