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ARMA_GUESS
Returns an array of cells for the initial/quick guess of the model's parameters.
Syntax
ARMAi_GUESS(X, Order, p, q)
X
is the univariate time series data (a one dimensional array of cells (e.g. rows or columns)).
Order
is the time order of the data series (i.e. whether the first data point corresponds to the earliest or latest date (earliest date=1 (default), latest date=0)).
| Order | Description |
|---|---|
| 1 | ascending (the first data point corresponds to the earliest date) |
| 0 | descending (the first data point corresponds to the latest date) |
p
is the AR component order of the model.
q
is the MA component order of the model.
Remarks
- The underlying model is described here.
- The time series is homogeneous or equally spaced.
- The time series may include missing values (e.g. #N/A) at either end.
-
ARMA_GUESS returns the model's parameters in the following order:
-
References
- Hamilton, J .D.; Time Series Analysis
, Princeton University Press (1994), ISBN 0-691-04289-6 - Tsay, Ruey S.; Analysis of Financial Time Series John Wiley & SONS. (2005), ISBN 0-471-690740
