AIC for ARIMA
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Hi all. I am modeling a time series with ARIMA model, and I have to test th AIC creterion to know wich is the best model. aic(model), but what to put in place of "model"?
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Walter Roberson
on 2 May 2012
http://www.mathworks.com/matlabcentral/answers/29922-why-your-question-is-not-urgent-or-an-emergency
Answers (1)
Rajiv Singh
on 3 May 2012
In System Identification Toolbox, use the armax command to generate a model. Suppose x represents your time series data: z = iddata(x,[]); model = armax(z,[na nc], 'IntegrateNoise', true)
The "IntegrateNoise" option is available in R2012a, but not before that. In older releases, you can do something like this: zd = iddata(diff(x),[]); model = armax(zd,[na nc]) model.a = conv([1 -1],model.a)
rajiv
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