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Automatic ARIMA model identification in MATLAB (like auto.arima in R)

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Jonas
Jonas il 1 Mar 2016
Commentato: Sinan Islam il 18 Nov 2023
Is there a function in MATLAB to identify a suitable ARIMA model like it does in R (function of auto.arima in package forecast) or in other commercial forecasting products?

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Risposte (1)

Roger Wohlwend
Roger Wohlwend il 2 Mar 2016
No, there is no such function. You can identify a suitable model with the Information criterions (AIC and BIC).
  2 Commenti
Jonas
Jonas il 4 Mar 2016
There is some useful functions in System Identification Toolbox like " arx", that can find polynomial degree "p" of AR model.
  • Can it help me to identify AR-part of ARMA/ARIMA model?
  • And maybe SIT (Toolbox) contain other interesting function that can help to identify "p" and "q" for ARMA model?
Sinan Islam
Sinan Islam il 18 Nov 2023
Doesnt estimate do the same purpose as auto arima in R?
https://www.mathworks.com/help/econ/arima.estimate.html

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