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AIRLINE_GUESS (Pro)
Returns an array of cells for the initial/quick guess of the model's parameters
Syntax
AIRLINE_GUESS(X, Order, s)
X
is the univariate time series data (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) |
s
is the length of seasonality (expressed in terms of lags, where s > 1).
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.
-
AIRLINE_GUESS returns the model's parameters in the following order:
-
- The Airline model is a special case of multiplicative seasonal ARMAi model.
- The Airline model is a special case of multiplicative seasonal ARIMAi model, and it assumes independent and normally distributed residuals with constant variance.
Examples
Example 1:
| A | B | C | D | |
|---|---|---|---|---|
| 1 | Date | Data | ||
| 2 | 1/1/2008 | -0.300 |
ARMA |
|
| 3 | 1/2/2008 | -1.278 | Mean | -0.00258 |
| 4 | 1/3/2008 | 0.244 | Sigma | 0.14 |
| 5 | 1/4/2008 | 1.276 | Phi_1 | -0.236 |
| 6 | 1/6/2008 | 1.733 | Theta_1 | -5.60E-05 |
| 7 | 1/7/2008 | -2.184 | ||
| 8 | 1/8/2008 | -0.234 | ||
| 9 | 1/9/2008 | 1.095 | ||
| 10 | 1/10/2008 | -1.087 | ||
| 11 | 1/11/2008 | -0.690 | ||
| 12 | 1/12/2008 | -1.690 | ||
| 13 | 1/13/2008 | -1.847 | ||
| 14 | 1/14/2008 | -0.978 | ||
| 15 | 1/15/2008 | -0.774 |
| Formula | Description (Result) | ||
|---|---|---|---|
| =ARMA_AICi($B$2:$B$15,1,$D$3,$D$4,$D$5,$D$6) | 1046.59 | Akaike's information criterion (AIC) | |
| =ARMA_LLFi($B$2:$B$15,1,$D$3,$D$4,$D$5,$D$6) | -519.095 | Log-Likelihood Function | |
| =ARMA_CHECK($D$3,$D$4,$D$5,$D$6) | 1 | Is ARMA model stable? |
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
