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.
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.
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.
Don't miss out on SAS Innovate - Register now for the FREE Livestream!
Can't make it to Vegas? No problem! Watch our general sessions LIVE or on-demand starting April 17th. Hear from SAS execs, best-selling author Adam Grant, Hot Ones host Sean Evans, top tech journalist Kara Swisher, AI expert Cassie Kozyrkov, and the mind-blowing dance crew iLuminate! Plus, get access to over 20 breakout sessions.
Learn how to run multiple linear regression models with and without interactions, presented by SAS user Alex Chaplin.
Find more tutorials on the SAS Users YouTube channel.