Problems with ARMA model

8 vues (au cours des 30 derniers jours)
Ronald Balvers
Ronald Balvers le 14 Nov 2019
Commenté : Aman le 24 Sep 2024
Working with the arima function from the Econometrics toolbox. When I use an AR or an MA model, no problem. However I get an error message when using an ARMA(1,1) model. The self-contained code is
data = randi([-10 10],1,30)';
model=arima(1,0,1);
result=estimate(model,data)
Running this I receive the error message 'Index exceeds the number of array elements (2).'
  1 commentaire
Aman
Aman le 24 Sep 2024
Hi Ronald,
I tried running the code, and it worked fine for me. Could you please share the actual code that you are trying to run, as this piece of code is not giving any error?
data = randi([-10 10],1,30)';
model=arima(1,0,1);
result=estimate(model,data)
ARIMA(1,0,1) Model (Gaussian Distribution): Value StandardError TStatistic PValue ________ _____________ __________ __________ Constant -2.5461 1.8535 -1.3737 0.16954 AR{1} -0.90452 0.063244 -14.302 2.1222e-46 MA{1} 0.82809 0.10344 8.0057 1.1876e-15 Variance 20.476 5.8193 3.5187 0.00043367
result =
arima with properties: Description: "ARIMA(1,0,1) Model (Gaussian Distribution)" SeriesName: "Y" Distribution: Name = "Gaussian" P: 1 D: 0 Q: 1 Constant: -2.54611 AR: {-0.904525} at lag [1] SAR: {} MA: {0.828095} at lag [1] SMA: {} Seasonality: 0 Beta: [1×0] Variance: 20.4764

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