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PROC ARIMA: How to forecast with user supplied parameter estimates

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PROC ARIMA: How to forecast with user supplied parameter estimates

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Hello,

 

Instead of generating forecast values for a time series by using the parameter estimates produced by the previous ESTIMATE statement as in the forecast statement in PROC ARIMA, I want to generate forecast values for a time series by user supplied parameter estimates.

 

Basically I want to perturb the parameter estimates produced by the previous ESTIMATE statement by adding a random noise to it and then use them to generate forecast values.

 

Is there any way I could accomplish this?

 

Thanks

 

P.S: Please tell me if any part of the question is unclear.


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a month ago
SAS Employee
Posts: 60

Re: PROC ARIMA: How to forecast with user supplied parameter estimates

You can use the ESTIMATE statement options such as  AR=, MA=, ... and NOEST to fix the parameter values to your desired settings.  See the "Options to Specify Parameter Values" section of the ESTIMATE statement documentation.

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a month ago
SAS Employee
Posts: 60

Re: PROC ARIMA: How to forecast with user supplied parameter estimates

You can use the ESTIMATE statement options such as  AR=, MA=, ... and NOEST to fix the parameter values to your desired settings.  See the "Options to Specify Parameter Values" section of the ESTIMATE statement documentation.

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