Search found 4 matches
Search found 4 matches • Page 1 of 1
- Tue Sep 03, 2013 11:46 pm
- Forum: Programming
- Topic: ARMA fitting and forecast
- Replies: 1
- Views: 1440
Good day, I have managed to successfully run the following program on my data. This has enabled me to find the best model (minimize AIC) for the entire period. How can I modify this program to help me do the same on a rolling basis i.e. every 500 observations and store the best model at each point? ...
Hi all, To begin, I have limited knowledge in programming but I need to somehow generate a program that can enable me to find the best ARMA model (minimize AIC) starting from ARMA 0,0 to ARMA 5,5 on a rolling basis (over 4000 data points). After the best model has been selected I would like the prog...