Interprete State Space model and klaman filter
Posted: Mon Dec 08, 2014 10:09 pm
Hi and good day to everyone.
I have this SARIMA(1,0,2)(0,0,1), S=12. I chosed this model because it gives the lowest AIC and BIC vlaues. Then, in order to apply Kalman filter, i converted this SARIMA(1,0,2)(0,0,1), S=12 into ARMA(1,14). My problem is. I don't know how to interprete the output from State Space and Kalman Filter. I hope somebody could help me ?
These are the outputs of the State Space and Kalman Filter model ?
I have this SARIMA(1,0,2)(0,0,1), S=12. I chosed this model because it gives the lowest AIC and BIC vlaues. Then, in order to apply Kalman filter, i converted this SARIMA(1,0,2)(0,0,1), S=12 into ARMA(1,14). My problem is. I don't know how to interprete the output from State Space and Kalman Filter. I hope somebody could help me ?
These are the outputs of the State Space and Kalman Filter model ?