Is there any good example (like a step by step guide) to proc arima or proc ucm?
If you want to go through an example of how to do time series analysis using PROC ARIMA, you can follow this link (http://support.sas.com/documentation/cdl/en/etsug/63939/HTML/default/viewer.htm#etsug_arima_sect056....)
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Use this tutorial as a handy guide to weigh the pros and cons of these commonly used machine learning algorithms.
Find more tutorials on the SAS Users YouTube channel.