MATLAB Examples

# Specify the Innovation Distribution

regARIMA stores the distribution (and degrees of freedom for the t distribution) in the Distribution property. The data type of Distribution is a struct array with potentially two fields: Name and DoF.

• If the innovations are Gaussian, then the Name field is Gaussian, and there is no DoF field. regARIMA sets Distribution to Gaussian by default.
• If the innovations are t-distributed, then the Name field is t and the DoF field is NaN by default, or you can specify a scalar that is greater than 2.

To illustrate specifying the distribution, consider this regression model with AR(2) errors:

Mdl = regARIMA(2,0,0); Mdl.Distribution 
ans = struct with fields: Name: 'Gaussian' 

By default, Distribution property of Mdl is a struct array with the field Name having the value Gaussian.

If you want to specify a t innovation distribution, then you can either specify the model using the name-value pair argument 'Distribution','t', or use dot notation to modify an existing model.

Specify the model using the name-value pair argument.

Mdl = regARIMA('ARLags',1:2,'Distribution','t'); Mdl.Distribution 
ans = struct with fields: Name: 't' DoF: NaN 

If you use the name-value pair argument to specify the t innovation distribution, then the default degrees of freedom is NaN.

You can use dot notation to yield the same result.

Mdl = regARIMA(2,0,0); Mdl.Distribution = 't' 
Mdl = ARIMA(2,0,0) Error Model: -------------------------- Distribution: Name = 't', DoF = NaN Intercept: NaN P: 2 D: 0 Q: 0 AR: {NaN NaN} at Lags [1 2] SAR: {} MA: {} SMA: {} Variance: NaN 

If the innovation distribution is , then you can use dot notation to modify the Distribution property of the existing model Mdl. You cannot modify the fields of Distribution using dot notation, e.g., Mdl.Distribution.DoF = 10 is not a value assignment. However, you can display the value of the fields using dot notation.

Mdl.Distribution = struct('Name','t','DoF',10) tDistributionDoF = Mdl.Distribution.DoF 
Mdl = ARIMA(2,0,0) Error Model: -------------------------- Distribution: Name = 't', DoF = 10 Intercept: NaN P: 2 D: 0 Q: 0 AR: {NaN NaN} at Lags [1 2] SAR: {} MA: {} SMA: {} Variance: NaN tDistributionDoF = 10 

Since the DoF field is not a NaN, it is an equality constraint when you estimate Mdl using estimate.

Alternatively, you can specify the innovation distribution using the name-value pair argument.

Mdl = regARIMA('ARLags',1:2,'Constant',0,... 'Distribution',struct('Name','t','DoF',10)) 
Mdl = ARIMA(2,0,0) Error Model: -------------------------- Distribution: Name = 't', DoF = 10 Intercept: 0 P: 2 D: 0 Q: 0 AR: {NaN NaN} at Lags [1 2] SAR: {} MA: {} SMA: {} Variance: NaN