BookmarkSubscribeRSS Feed
Asudipta
Calcite | Level 5

Hi everyone,

Do you think this is the right algorithm to approach the problem?

Start with a dummy parameters(omega, alpha, beta)

Calculate the cost function ( J=mod(h(xi)-yi)^2/n    y=h(xi)=omega + alpha * xi-1 + beta * ei) is the regression function)

And do a Gradient Descent algorithim with a  certain learning rate to find the optimum value of alpha , beta and omega where J is min .

Can this works this way?

Thanks and Regards,

Sudipta

2 REPLIES 2
Asudipta
Calcite | Level 5

Hi , In addition to my previous question,Can someone share the algorithm for ARIMA model, I want to cross check the output with real time data .

SteveDenham
Jade | Level 19

In PROC ARIMA, specify METHOD=ML in the ESTIMATE statement to get maximum likelihood estimates.  The algorithm is Marquardt's method for nonlinear least squares estimation.

Steve Denham

hackathon24-white-horiz.png

The 2025 SAS Hackathon Kicks Off on June 11!

Watch the live Hackathon Kickoff to get all the essential information about the SAS Hackathon—including how to join, how to participate, and expert tips for success.

YouTube LinkedIn

Discussion stats
  • 2 replies
  • 2039 views
  • 0 likes
  • 2 in conversation