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# regARIMA class

Superclasses:

Create regression model with ARIMA time series errors

## Description

`regARIMA` creates a regression model with ARIMA time series errors to maintain the sensitivity interpretation of regression coefficients.

By default, the time series errors (also called unconditional disturbances) are independent, identically distributed, mean 0 Gaussian random variables. If the errors have an autocorrelation structure, then you can specify models for them. The models include:

• moving average (MA)

• autoregressive (AR)

• mixed autoregressive and moving average (ARMA)

• integrated (ARIMA)

• multiplicative seasonal (SARIMA)

Specify error models containing known coefficients to:

## Construction

`Mdl = regARIMA` creates a regression model with degree 0 ARIMA errors and no regression coefficient.

`Mdl = regARIMA(p,D,q)` creates a regression model with errors modeled by a nonseasonal, linear time series with autoregressive degree `p`, differencing degree `D`, and moving average degree `q`.

`Mdl = regARIMA(Name,Value)` creates a regression model with ARIMA errors using additional options specified by one or more `Name,Value` pair arguments. `Name` can also be a property name and `Value` is the corresponding value. `Name` must appear inside single quotes (`''`). You can specify several `Name,Value` pair arguments in any order as `Name1,Value1,...,NameN,ValueN`.

### Note

For regression models with nonseasonal ARIMA errors, use `p`, `D`, and `q`. For regression models with seasonal ARIMA errors, use `Name,Value` pair arguments.

 `p` Nonseasonal, autoregressive polynomial degree for the error model, specified as a positive integer. `D` Nonseasonal integration degree for the error model, specified as a nonnegative integer. `q` Nonseasonal, moving average polynomial degree for the error model, specified as a positive integer.

#### Name-Value Pair Arguments

Specify optional comma-separated pairs of `Name,Value` arguments. `Name` is the argument name and `Value` is the corresponding value. `Name` must appear inside quotes. You can specify several name and value pair arguments in any order as `Name1,Value1,...,NameN,ValueN`.

`'Intercept'`

Regression model intercept, specified as the comma-separated pair consisting of `'Intercept'` and a scalar.

Default: `NaN`

`'Beta'`

Regression model coefficients associated with the predictor data, specified as the comma-separated pair consisting of `'Beta'` and a vector.

Default: `[]` (no regression coefficients corresponding to predictor data)

`'AR'`

Nonseasonal, autoregressive coefficients for the error model, specified as the comma-separated pair consisting of `'AR'` and a cell vector. The coefficients must yield a stable polynomial.

• If you specify `ARLags`, then `AR` is an equivalent-length cell vector of coefficients associated with the lags in `ARLags`. For example, if `ARLags` = `[1, 4]` and `AR` = `{0.2, 0.1}`, then, ignoring all other specifications, the error model is ${u}_{t}=0.2{u}_{t-1}+0.1{u}_{t-4}+{\epsilon }_{t}.$

• If you do not specify `ARLags`, then `AR` is a cell vector of coefficients at lags 1,2,...,p, which is the nonseasonal, autoregressive polynomial degree. For example, if `AR` = `{0.2, 0.1}` and you do not specify `ARLags`, then, ignoring all other specifications, the error model is ${u}_{t}=0.2{u}_{t-1}+0.1{u}_{t-2}+{\epsilon }_{t}.$

Default: Cell vector of `NaN`s with the same length as `ARLags`.

`'MA'`

Nonseasonal, moving average coefficients for the error model, specified as the comma-separated pair consisting of `'MA'` and a cell vector. The coefficients must yield an invertible polynomial.

• If you specify `MALags`, then `MA` is an equivalent-length cell vector of coefficients associated with the lags in `MALags`. For example, if `MALags` = `[1, 4]` and `MA` = `{0.2, 0.1}`, then, ignoring all other specifications, the error model is ${u}_{t}={\epsilon }_{t}+0.2{\epsilon }_{t-1}+0.1{\epsilon }_{t-4}.$

• If you do not specify `MALags`, then `MA` is a cell vector of coefficients at lags 1,2,...,q, which is the nonseasonal, moving average polynomial degree. For example, if `MA` = `{0.2, 0.1}` and you do not specify `MALags`, then, ignoring all other specifications, the error model is ${u}_{t}={\epsilon }_{t}+0.2{\epsilon }_{t-1}+0.1{\epsilon }_{t-2}.$

Default: Cell vector of `NaN`s with the same length as `MALags`.

`'ARLags'`

Lags associated with the `AR` coefficients in the error model, specified as the comma-separated pair consisting of `'ARLags'` and a vector of positive integers.

Default: Vector of integers 1,2,...,p, the nonseasonal, autoregressive polynomial degree.

`'MALags'`

Lags associated with the `MA` coefficients in the error model, specified as the comma-separated pair consisting of `'MALags'` and a vector of positive integers.

Default: Vector of integers 1,2,...,q, the nonseasonal moving average polynomial degree.

`'SAR'`

Seasonal, autoregressive coefficients for the error model, specified as the comma-separated pair consisting of `'SAR'` and a cell vector. The coefficient must yield a stable polynomial.

• If you specify `SARLags`, then `SAR` is an equivalent-length cell vector of coefficients associated with the lags in `SARLags`. For example, if `SARLags = [1, 4]`, ```SAR = {0.2, 0.1}```, and ```Seasonality = 4```, then, ignoring all other specifications, the error model is

`$\left(1-0.2L-0.1{L}^{4}\right)\left(1-{L}^{4}\right){u}_{t}={\epsilon }_{t}.$`

• If you do not specify `SARLags`, then `SAR` is a cell vector of coefficients at lags 1,2,...,ps, which is the seasonal, autoregressive polynomial degree. For example, if `SAR = {0.2, 0.1}` and `Seasonality = 4`, and you do not specify `SARLags`, then, ignoring all other specifications, the error model is

`$\left(1-0.2L-0.1{L}^{2}\right)\left(1-{L}^{4}\right){u}_{t}={\epsilon }_{t}.$`

Default: Cell vector of `NaN`s with the same length as `SARLags`.

`'SMA'`

Seasonal, moving average coefficients for the error model, specified as the comma-separated pair consisting of `'SMA'` and a cell vector. The coefficient must yield an invertible polynomial.

• If you specify `SMALags`, then `SMA` is an equivalent-length cell vector of coefficients associated with the lags in `SMALags`. For example, if `SMALags` = `[1, 4]`, `SMA` = `{0.2, 0.1}`, and `Seasonality` = 4, then, ignoring all other specifications, the error model is $\left(1-{L}^{4}\right){u}_{t}=\left(1+0.2L+0.1{L}^{4}\right){\epsilon }_{t}.$

• If you do not specify `SMALags`, then `SMA` is a cell vector of coefficients at lags 1,2,...,qs, the seasonal, moving average polynomial degree. For example, if `SMA` = `{0.2, 0.1}` and `Seasonality` = 4, and you do not specify `SMALags`, then, ignoring all other specifications, the error model is $\left(1-{L}^{4}\right){u}_{t}=\left(1+0.2L+0.1{L}^{2}\right){\epsilon }_{t}.$

Default: Cell vector of `NaN`s with the same length as `SMALags`.

`'SARLags'`

Lags associated with the `SAR` coefficients in the error model, specified as the comma-separated pair consisting of `'SARLags'` and a vector of positive integers.

Default: Vector of integers 1,2,...,ps, the seasonal, autoregressive polynomial degree.

`'SMALags'`

Lags associated with the `SMA` coefficients in the error model, specified as the comma-separated pair consisting of `'SMALags'` and a vector of positive integers.

Default: Vector of integers 1,2,...,qs, the seasonal moving average polynomial degree.

`'D'`

Nonseasonal differencing polynomial degree (i.e., nonseasonal integration degree) for the error model, specified as the comma-separated pair consisting of `'D'` and a nonnegative integer.

Default: `0` (no nonseasonal integration)

`'Seasonality'`

Seasonal differencing polynomial degree for the error model, specified as the comma-separated pair consisting of `'Seasonality'` and a nonnegative integer.

Default: `0` (no seasonal integration)

`'Variance'`

Variance of the model innovations εt, specified as the comma-separated pair consisting of `'Variance'` and a positive scalar.

Default: `NaN`

`'Distribution'`

Conditional probability distribution of the innovation process, specified as the comma-separated pair consisting of `'Distribution'` and the distribution name or structure array describing the distribution.

DistributionDistribution nameStructure array
Gaussian`'Gaussian'``struct('Name','Gaussian')`
Student’s t
 `'t'` By default, `DoF` is `NaN`.
 `struct('Name','t','DoF',DoF)` `DoF` > 2 or `DoF = NaN`

Default: `'Gaussian'`

`'Description'`

String scalar or character vector describing the model. By default, this argument describes the parametric form of the model, for example, ```"ARIMA(1,1,1) Error Model (Gaussian Distribution)"```.

### Notes

• Each `AR`, `SAR`, `MA`, and `SMA` coefficient is associated with an underlying lag operator polynomial and is subject to a near-zero tolerance exclusion test. That is, the software compares each coefficient to the default lag operator zero tolerance, `1e-12`. If the magnitude of a coefficient is greater than `1e-12`, then the software includes it in the model. Otherwise, the software considers the coefficient sufficiently close to 0, and excludes it from the model. For additional details, see `LagOp`.

• Specify the lags associated with the seasonal polynomials `SAR` and `SMA` in the periodicity of the observed data, and not as multiples of the `Seasonality` parameter. This convention does not conform to standard Box and Jenkins  notation, but it is a more flexible approach for incorporating multiplicative seasonality.

## Properties

 `AR` Cell vector of nonseasonal, autoregressive coefficients corresponding to a stable polynomial of the error model. Associated lags are 1,2,...,p, which is the nonseasonal, autoregressive polynomial degree, or as specified in `ARLags`. `Beta` Real vector of regression coefficients corresponding to the columns of the predictor data matrix. `D` Nonnegative integer indicating the nonseasonal integration degree of the error model. `Description` String scalar for the model description. `Distribution` Data structure for the conditional probability distribution of the innovation process. The field `Name` stores the distribution name `"Gaussian"` or `"t"`. If the distribution is `"t"`, then the structure also has the field `DoF` to store the degrees of freedom. `Intercept` Scalar intercept in the error model. `MA` Cell vector of nonseasonal moving average coefficients corresponding to an invertible polynomial of the error model. Associated lags are 1,2,...,q to the degree of the nonseasonal moving average polynomial, or as specified in `MALags`. `P` Scalar, compound autoregressive polynomial degree of the error model. `P` is the total number of lagged observations necessary to initialize the autoregressive component of the error model. `P` includes the effects of nonseasonal and seasonal integration captured by the properties `D` and `Seasonality`, respectively, and the nonseasonal and seasonal autoregressive polynomials `AR` and `SAR`, respectively. `P` does not necessarily conform to standard Box and Jenkins notation . If `D = 0`, `Seasonality = 0`, and `SAR = {}`, then `P` conforms to the standard notation. `Q` Scalar, compound moving average polynomial degree of the error model. `Q` is the total number of lagged innovations necessary to initialize the moving average component of the model. `Q` includes the effects of nonseasonal and seasonal moving average polynomials `MA` and `SMA`, respectively. `Q` does not necessarily conform to standard Box and Jenkins notation . If `SMA = {}`, then `Q` conforms to the standard notation. `SAR` Cell vector of seasonal autoregressive coefficients corresponding to a stable polynomial of the error model. Associated lags are 1,2,...,ps, which is the seasonal autoregressive polynomial degree, or as specified in `SARLags`. `SMA` Cell vector of seasonal moving average coefficients corresponding to an invertible polynomial of the error model. Associated lags are 1,2,...,qs, which is the seasonal moving average polynomial degree, or as specified in `SMALags`. `Seasonality` Nonnegative integer indicating the seasonal differencing polynomial degree for the error model. `Variance` Positive scalar variance of the model innovations.

## Methods

 arima Convert regression model with ARIMA errors to ARIMAX model estimate Estimate parameters of regression models with ARIMA errors filter Filter disturbances through regression model with ARIMA errors forecast Forecast responses of regression model with ARIMA errors impulse Impulse response of regression model with ARIMA errors infer Infer innovations of regression models with ARIMA errors print (To be removed) Display estimation results for regression models with ARIMA errors simulate Monte Carlo simulation of regression model with ARIMA errors summarize Display estimation results of regression model with ARIMA errors

## Copy Semantics

Value. To learn how value classes affect copy operations, see Copying Objects (MATLAB).

## Examples

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Specify the following regression model with ARIMA(2,1,3) errors:

`$\begin{array}{c}{y}_{t}={u}_{t}\\ \left(1-{\varphi }_{1}L-{\varphi }_{2}{L}^{2}\right)\left(1-L\right){u}_{t}=\left(1+{\theta }_{1}L+{\theta }_{2}{L}^{2}+{\theta }_{3}{L}^{3}\right){\epsilon }_{t}.\end{array}$`

`Mdl = regARIMA(2,1,3)`
```Mdl = regARIMA with properties: Description: "ARIMA(2,1,3) Error Model (Gaussian Distribution)" Distribution: Name = "Gaussian" Intercept: NaN Beta: [1×0] P: 3 D: 1 Q: 3 AR: {NaN NaN} at lags [1 2] SAR: {} MA: {NaN NaN NaN} at lags [1 2 3] SMA: {} Variance: NaN ```

The output displays the values of the properties `P`, `D`, and `Q` of `Mdl`. The corresponding autoregressive and moving average coefficients (contained in `AR` and `MA`) are cell arrays containing the correct number of `NaN` values. Note that `P` = `p` + `D` = 3, indicating that you need three presample observations to initialize the model for estimation.

Define the regression model with ARIMA errors:

`$\begin{array}{l}\begin{array}{c}{y}_{t}=2+{X}_{t}\left[\begin{array}{c}1.5\\ 0.2\end{array}\right]+{u}_{t}\\ \left(1-0.2L-0.3{L}^{2}\right){u}_{t}=\left(1+0.1L\right){\epsilon }_{t},\end{array}\end{array}$`

where ${\epsilon }_{t}$ is Gaussian with variance 0.5.

```Mdl = regARIMA('Intercept',2,'AR',{0.2 0.3},'MA',{0.1},... 'Variance',0.5,'Beta',[1.5 0.2])```
```Mdl = regARIMA with properties: Description: "Regression with ARMA(2,1) Error Model (Gaussian Distribution)" Distribution: Name = "Gaussian" Intercept: 2 Beta: [1.5 0.2] P: 2 Q: 1 AR: {0.2 0.3} at lags [1 2] SAR: {} MA: {0.1} at lag  SMA: {} Variance: 0.5 ```

`Mdl` is fully specified to, for example, simulate a series of responses given the predictor data matrix, ${X}_{t}$.

Modify the model to estimate the regression coefficient, the AR terms, and the variance of the innovations.

```Mdl.Beta = [NaN NaN]; Mdl.AR = {NaN NaN}; Mdl.Variance = NaN;```

Change the innovations distribution to a $t$ distribution with 15 degrees of freedom.

`Mdl.Distribution = struct('Name','t','DoF',15)`
```Mdl = regARIMA with properties: Description: "Regression with ARMA(2,1) Error Model (t Distribution)" Distribution: Name = "t", DoF = 15 Intercept: 2 Beta: [NaN NaN] P: 2 Q: 1 AR: {NaN NaN} at lags [1 2] SAR: {} MA: {0.1} at lag  SMA: {} Variance: NaN ```

Specify the following model:

`$\begin{array}{l}\begin{array}{c}{y}_{t}=1+6{X}_{t}+{u}_{t}\\ \left(1-0.2L\right)\left(1-L\right)\left(1-0.5{L}^{4}-0.2{L}^{8}\right)\left(1-{L}^{4}\right){u}_{t}=\left(1+0.1L\right)\left(1+0.05{L}^{4}+0.01{L}^{8}\right){\epsilon }_{t},\end{array}\end{array}$`

where ${\epsilon }_{t}$ is Gaussian with variance 1.

```Mdl = regARIMA('Intercept',1,'Beta',6,'AR',0.2,... 'MA',0.1,'SAR',{0.5,0.2},'SARLags',[4, 8],... 'SMA',{0.05,0.01},'SMALags',[4 8],'D',1,... 'Seasonality',4,'Variance',1)```
```Mdl = regARIMA with properties: Description: "Regression with ARIMA(1,1,1) Error Model Seasonally Integrated with Seasonal AR(8) and MA(8) (Gaussian Distribution)" Distribution: Name = "Gaussian" Intercept: 1 Beta:  P: 14 D: 1 Q: 9 AR: {0.2} at lag  SAR: {0.5 0.2} at lags [4 8] MA: {0.1} at lag  SMA: {0.05 0.01} at lags [4 8] Seasonality: 4 Variance: 1 ```

If you do not specify `SARLags` or `SMALags`, then the coefficients in `SAR` and `SMA` correspond to lags 1 and 2 by default.

```Mdl = regARIMA('Intercept',1,'Beta',6,'AR',0.2,... 'MA',0.1,'SAR',{0.5,0.2},'SMA',{0.05,0.01},... 'D',1,'Seasonality',4,'Variance',1)```
```Mdl = regARIMA with properties: Description: "Regression with ARIMA(1,1,1) Error Model Seasonally Integrated with Seasonal AR(2) and MA(2) (Gaussian Distribution)" Distribution: Name = "Gaussian" Intercept: 1 Beta:  P: 8 D: 1 Q: 3 AR: {0.2} at lag  SAR: {0.5 0.2} at lags [1 2] MA: {0.1} at lag  SMA: {0.05 0.01} at lags [1 2] Seasonality: 4 Variance: 1 ```

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## References

 Box, G. E. P., G. M. Jenkins, and G. C. Reinsel. Time Series Analysis: Forecasting and Control. 3rd ed. Englewood Cliffs, NJ: Prentice Hall, 1994.

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