ARMA forecasting
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Hello all. I have a time series, and I have to apply the four steps of ARMA estimation ( chose the orders, compute the coefficients of the suitable ARMA model), and after that I have to predict the next 10 values. I am a beginer in this domain, and I have insatlled the Matlab 2010b. Thank you for your Help
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Abolfazl Nejatian
on 10 Dec 2020
this is my forcasting code which is allow you predict your time series data with LSTM, CNN, and MLP Networks.
Answers (1)
Rajiv Singh
on 16 Apr 2012
Use ARMAX function in System Identification Toolbox to estimate an ARMA model, as in model = arma(data, [na nc])
In R2012a: use FORECAST function to forecast the response. See http://www.mathworks.com/help/toolbox/ident/ref/forecast.html
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Rajiv Singh
on 17 Apr 2012
System identification toolbox has no automated way for you to pick na/nc. The ARXSTRUCT/SELSTRUC commands let you for this for a ARX model structure. You could subject your data to this command and determine "na" that way. Then you can pick nc<=na as a start. The "optimal" values of na and nc orders are ultimately going to be those for which the prediction errors are minimized against a validation data set.
See COMPARE and RESID commands. The most basic test of optimality would be that the 1-step ahead prediction fit to validation data is maximized, as revealed in the COMPARE plot.
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