Why are all coefficients of my seasonal ARIMA = 0 or NaN?
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MC3105
le 26 Sep 2014
Commenté : Roger Wohlwend
le 29 Sep 2014
Hello everyone!
I created a seasonal ARIMA model with the following code:
% model = arima('Constant',0,'D',1,'Seasonality',24,'ARLags',3,'SARLags',3,'MALags',2,'SMALags',2);
[fit,VarCov,LogL,info] = estimate(model,Y);
Now matlab gives me the following output:
Parameter Value Error Statistic
----------- ----------- ------------ -----------
Constant 0 Fixed Fixed
AR{3} -0.0321142 0.00310401 -10.346
SAR{3} -0.0321142 0.00310401 -10.346
MA{2} -0.138189 0.00201315 -68.643
SMA{2} -0.138189 0.00201315 -68.643
Variance 0.921722 0.00357711 257.672
When I try to retrieve the coefficients of my polynomials with for example
% model.SAR
I only get zeros and NaN as coefficients. Does anyone know what the problem could be?
Thanks a lot!! I am very new to matlab, so help is greatly appreciated!!
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Roger Wohlwend
le 26 Sep 2014
The variable model specifies the model but it does not contain any values for the coefficients (except the constant). That is why you only get zeros and NaNs. The estimated model is the variable fit . You have to retrieve the coeffiencts from that variable.
SAR = fit.SAR
2 commentaires
Roger Wohlwend
le 29 Sep 2014
You have to include all lags in the specification, not just the highest one. With the following line of code Matlab will estimate the model you want:
model = arima('Constant', 0, 'D', 1, 'Seasonality', 24, 'ARLags', 1:3, 'SARLags', 1:3, 'MALags', 1:2, 'SMALags', 1:2);
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