This example shows how to use the shorthand `arima(p,D,q)`

syntax to specify the default AR($$p$$) model,

$${y}_{t}=c+{\varphi}_{1}{y}_{t-1}+\dots +{\varphi}_{p}{y}_{t-p}+{\epsilon}_{t}.$$

By default, all parameters in the created model object have unknown values, and the innovation distribution is Gaussian with constant variance.

Specify the default AR(2) model:

model = arima(2,0,0)

model = arima with properties: Description: "ARIMA(2,0,0) Model (Gaussian Distribution)" Distribution: Name = "Gaussian" P: 2 D: 0 Q: 0 Constant: NaN AR: {NaN NaN} at lags [1 2] SAR: {} MA: {} SMA: {} Seasonality: 0 Beta: [1×0] Variance: NaN

The output shows that the created model object, `model`

, has `NaN`

values for all model parameters: the constant term, the AR coefficients, and the variance. You can modify the created model object using dot notation, or input it (along with data) to `estimate`

.

This example shows how to specify an AR(*p*) model with constant term equal to zero. Use name-value syntax to specify a model that differs from the default model.

Specify an AR(2) model with no constant term,

$${y}_{t}={\varphi}_{1}{y}_{t-1}+{\varphi}_{2}{y}_{t-2}+{\epsilon}_{t},$$

where the innovation distribution is Gaussian with constant variance.

model = arima('ARLags',1:2,'Constant',0)

model = arima with properties: Description: "ARIMA(2,0,0) Model (Gaussian Distribution)" Distribution: Name = "Gaussian" P: 2 D: 0 Q: 0 Constant: 0 AR: {NaN NaN} at lags [1 2] SAR: {} MA: {} SMA: {} Seasonality: 0 Beta: [1×0] Variance: NaN

The `ARLags`

name-value argument specifies the lags corresponding to nonzero AR coefficients. The property `Constant`

in the created model object is equal to `0`

, as specified. The model object has default values for all other properties, including `NaN`

values as placeholders for the unknown parameters: the AR coefficients and scalar variance.

You can modify the created model object using dot notation, or input it (along with data) to `estimate`

.

This example shows how to specify an AR(*p*) model with nonzero coefficients at nonconsecutive lags.

Specify an AR(4) model with nonzero AR coefficients at lags 1 and 4 (and no constant term),

$${y}_{t}=0.2+0.8{y}_{t-1}-0.1{y}_{t-4}+{\epsilon}_{t},$$

where the innovation distribution is Gaussian with constant variance.

model = arima('ARLags',[1,4],'Constant',0)

model = arima with properties: Description: "ARIMA(4,0,0) Model (Gaussian Distribution)" Distribution: Name = "Gaussian" P: 4 D: 0 Q: 0 Constant: 0 AR: {NaN NaN} at lags [1 4] SAR: {} MA: {} SMA: {} Seasonality: 0 Beta: [1×0] Variance: NaN

The output shows the nonzero AR coefficients at lags 1 and 4, as specified. The property `P`

is equal to `4`

, the number of presample observations needed to initialize the AR model. The unconstrained parameters are equal to `NaN`

.

Display the value of `AR`

:

model.AR

`ans=`*1×4 cell*
{[NaN]} {[0]} {[0]} {[NaN]}

The `AR`

cell array returns four elements. The first and last elements (corresponding to lags 1 and 4) have value `NaN`

, indicating these coefficients are nonzero and need to be estimated or otherwise specified by the user. `arima`

sets the coefficients at interim lags equal to zero to maintain consistency with MATLAB® cell array indexing.

This example shows how to specify an ARMA(*p*, *q*) model with known parameter values. You can use such a fully specified model as an input to `simulate`

or `forecast`

.

Specify the ARMA(1,1) model

$${y}_{t}=0.3+0.7\varphi {y}_{t-1}+{\epsilon}_{t}+0.4{\epsilon}_{t-1},$$

where the innovation distribution is Student's *t* with 8 degrees of freedom, and constant variance 0.15.

tdist = struct('Name','t','DoF',8); model = arima('Constant',0.3,'AR',0.7,'MA',0.4,... 'Distribution',tdist,'Variance',0.15)

model = arima with properties: Description: "ARIMA(1,0,1) Model (t Distribution)" Distribution: Name = "t", DoF = 8 P: 1 D: 0 Q: 1 Constant: 0.3 AR: {0.7} at lag [1] SAR: {} MA: {0.4} at lag [1] SMA: {} Seasonality: 0 Beta: [1×0] Variance: 0.15

Because all parameter values are specified, the created model has no `NaN`

values. The functions `simulate`

and `forecast`

don't accept input models with `NaN`

values.

This example shows how to specify an AR($$p$$) model with a Student's *t* innovation distribution.

Specify an AR(2) model with no constant term,

$${y}_{t}={\varphi}_{1}{y}_{t-1}+{\varphi}_{2}{y}_{t-2}+{\epsilon}_{t},$$

where the innovations follow a Student's *t* distribution with unknown degrees of freedom.

model = arima('Constant',0,'ARLags',1:2,'Distribution','t')

model = arima with properties: Description: "ARIMA(2,0,0) Model (t Distribution)" Distribution: Name = "t", DoF = NaN P: 2 D: 0 Q: 0 Constant: 0 AR: {NaN NaN} at lags [1 2] SAR: {} MA: {} SMA: {} Seasonality: 0 Beta: [1×0] Variance: NaN

The value of `Distribution`

is a `struct`

array with field `Name`

equal to `'t'`

and field `DoF`

equal to `NaN`

. The `NaN`

value indicates the degrees of freedom are unknown, and need to be estimated using `estimate`

or otherwise specified by the user.

In the **Econometric Modeler** app, you can specify the lag structure, presence of a constant, and innovation distribution of an AR(*p*) model by following these steps. All specified coefficients are unknown, estimable parameters.

At the command line, open the

**Econometric Modeler**app.econometricModeler

Alternatively, open the app from the apps gallery (see

**Econometric Modeler**).In the

**Data Browser**, select the response time series to which the model will be fit.On the

**Econometric Modeler**tab, in the**Models**section, click**AR**.The

**AR Model Parameters**dialog box appears.Specify the lag structure. To specify an AR(

*p*) model that includes all AR lags from 1 through*p*, use the**Lag Order**tab. For the flexibility to specify the inclusion of particular lags, use the**Lag Vector**tab. For more details, see Specifying Lag Operator Polynomials Interactively. Regardless of the tab you use, you can verify the model form by inspecting the equation in the**Model Equation**section.

For example:

To specify an AR(2) model that includes a constant, includes the first lag, and has a Gaussian innovation distribution, set

**Autoregressive Order**to`2`

.To specify an AR(2) model that includes the first lag, has a Gaussian distribution, but does not include a constant:

Set

**Autoregressive Order**to`2`

.Clear the

**Include Constant Term**check box.

To specify an AR(4) model containing nonconsecutive lags

$${y}_{t}={\varphi}_{1}{y}_{t-1}+{\varphi}_{4}{y}_{t-4}+{\epsilon}_{t},$$

where

*ε*is a series of IID Gaussian innovations:_{t}Click the

**Lag Vector**tab.Set

**Autoregressive Lags**to`1 4`

.Clear the

**Include Constant Term**check box.

To specify an AR(2) model that includes the first lag, includes a constant term, and has

*t*-distributed innovations:Set

**Autoregressive Lags**to`2`

.Click the

**Innovation Distribution**button, then select`t`

.

The degrees of freedom parameter of the

*t*distribution is an unknown but estimable parameter.

After you specify a model, click **Estimate** to estimate all unknown parameters in the model.

- Econometric Modeler App Overview
- Specify Conditional Mean Models
- Modify Properties of Conditional Mean Model Objects
- Specify Conditional Mean Model Innovation Distribution