What should be the dimension of the 'X' matrix when fitting a ARIMAX(p,q) model?
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Ali Fathi Baghbadorani
il 20 Ott 2016
Modificato: Gowtham Uma M Jaganathan
il 28 Ott 2016
I'm Fitting an ARIMAX(p,q) model to a time series data with one exogenous variable. What should be the length of the 'X' matrix that I need to specify?
Thanks!
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Gowtham Uma M Jaganathan
il 28 Ott 2016
Modificato: Gowtham Uma M Jaganathan
il 28 Ott 2016
I believe that in your question, 'X' corresponds to the exogenous predictor variable.
If you do not specify presample response data, then the number of rows of X must be at least numel(y,2) + Mdl.P. Where 'y' is Single path of response data and Mdl.P is the ARIMAX model. Otherwise, the number of rows of X should be at least the length of y.
If the number of rows of X exceeds the number necessary, then "estimate" function uses the latest observations and synchronizes X with the response series y.
All the above mentioned information are documented in the link below:
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