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Mathematical form of an ARIMA model

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Mathematical form of an ARIMA model

I created an ARIMA model in SAS, but I need to implement the formula
for the forecasts in Excel. Below is the SAS code for the model. The model is
AR(5,10,15,20) MA(1,5) with differencing of 5 periods.

proc arima data=test;
identify var=calls (5) nlag=49;
estimate p=(5 10 15 20) q=(1 5);
run;

I tried using Y(t)-Y(t-5)=Mu+MA/AR, but the forecasts on the spreadsheet are still different from the SAS output. This notation is based on a document from SAS Support here: http://support.sas.com/documentation/cdl/en/etsug/60372/HTML/default/viewer.htm#etsug_tffordet_sect0...

Can you please help me with translating the ARIMA forecast to Excel? Thank you.
Valentin
SAS Employee
Posts: 416

Re: Mathematical form of an ARIMA model

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