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Question related to ARIMA modeling

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Regular Contributor
Posts: 188
Accepted Solution

Question related to ARIMA modeling

Hi,

For ARIMA modeling, I have got the (P,D,Q,) as (1,1,1). But I am getting confused to form the equation, I have the below coefficients:

      
ParameterMUMA1,1AR1,1
MA1,10.0021.0000.962
AR1,10.0000.9621.000
MU1.0000.0020.000

      

I have the following 3 obs forecasted after differentiation:

       
ObsForecastStd Error95% Confidence Limits
95-0.79766.6431-13.817912.2226
960.60036.7904-12.708613.9092
970.05786.8123-13.294013.4097


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2 weeks ago
SAS Employee
Posts: 8

Re: Question related to ARIMA modeling

This link describes the general notation used when working with ARIMA models: http://support.sas.com/documentation/cdl/en/etsug/65545/HTML/default/viewer.htm#etsug_arima_gettings....

Trying to setup the model outside of PROC ARIMA - for instance in Excel - is very tricky to do and not something I would recommend. It is not the same calculations as you would have when working for instance with simple linear regression. Forecasts are calculated as either infinite memory or finite memory forecasts which is based on the type of estimation method. More information can be found here: http://support.sas.com/documentation/cdl/en/etsug/65545/HTML/default/viewer.htm#etsug_arima_details3...

Thanks,

Snurre

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SAS Employee
Posts: 8

Re: Question related to ARIMA modeling

Hi,

I'm not entirely sure what you want to achieve but the first part of your output is not the actual parameter estimates. Instead, I think, you have shown the correlations of the parameter estimates. The actual parameter estimates can be located elsewhere in the output.

If you want to be able to write out the estimated equation you might find some input in this example: http://support.sas.com/documentation/cdl/en/etsug/65545/HTML/default/viewer.htm#etsug_arima_gettings...

At the bottom is an example where an ARIMA(1,1,1) is estimated.

Thanks,

Snurre

Regular Contributor
Posts: 188

Re: Question related to ARIMA modeling

Thank you for the link. That was helpful. Though I have question: if I have to substitute the values of B and a(t) at a given time t, what would be there value.? And once we form this equation do we need to integrate, before forecasting?

Solution
2 weeks ago
SAS Employee
Posts: 8

Re: Question related to ARIMA modeling

This link describes the general notation used when working with ARIMA models: http://support.sas.com/documentation/cdl/en/etsug/65545/HTML/default/viewer.htm#etsug_arima_gettings....

Trying to setup the model outside of PROC ARIMA - for instance in Excel - is very tricky to do and not something I would recommend. It is not the same calculations as you would have when working for instance with simple linear regression. Forecasts are calculated as either infinite memory or finite memory forecasts which is based on the type of estimation method. More information can be found here: http://support.sas.com/documentation/cdl/en/etsug/65545/HTML/default/viewer.htm#etsug_arima_details3...

Thanks,

Snurre

Regular Contributor
Posts: 188

Re: Question related to ARIMA modeling

Thnx!!

Regular Contributor
Posts: 188

Re: Question related to ARIMA modeling

Which value will be assigned to random error a(t)?

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