- SERIES_SPEC
- Specify the SERIES_SPEC of the input time series.
- FUNC_PARAMS
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Name Data Type Description MAX_PQ_NONSEASONAL Integer list [Optional] The (p,q) order of the maximum autoregression (AR) and moving average (MA) parameters. Default is (5, 5). MAX_PQ_SEASONAL Integer list [Optional] The (P,Q) order of the max seasonal AR and MA parameters. Default is (2,2) START_PQ_NONSEASONAL Integer list [Optional] The start value of (p,q). Only used when STEPWISE(1). Default is (0, 0). START_PQ _SEASONAL Integer list [Optional] The start value of seasonal (P,Q). Only used when STEPWISE(1). Default is (0, 0). d Integer [Optional] The order of first-differencing. Default is -1 (auto search d). Ds Integer [Optional] The order of seasonal-differencing. Default: -1 (auto search Ds). MAX_d Integer [Optional] Maximum number of non-seasonal differences. Default is 2. MAX_Ds Integer [Optional] Maximum number of seasonal differences. Default is 1. PERIOD Integer [Optional] The number of periods per season. For non-seasonal data, period is 1. Default is 1. STATIONARY Integer [Optional] If true, the the function restricts search to stationary models. A value of 1 means true. A value of 0 means false. Default is 0. SEASONAL Integer [Optional] If false, then the function restricts search to non-seasonal models. A value of 1 means true. A value of 0 means false. Default is 1, meaning search all models including seasonal. CONSTANT Integer [Optional] Indicator that TD_AUTOARIMA function include an intercept. A value of 1 means CONSTANT/intercept should be included. A value of 0 means CONSTANT/intercept should not be included. Default is 1. ALGORITHM Enumerated list [Optional] The approach used by TD_AUTOARIMA to estimate the coefficients. - ALGORITHM (MLE): Use maximum likelihood approach.
- ALGORITHM (CSS_MLE): Use the conditional sum-of-squares to determine a start value and then do maximum likelihood.
- ALGORITHM (CSS): Use the conditional sum-ofsquares approach..
Default is ALGORITHM (MLE).
FIT_PERCENTAGE Integer [Optional] Percentage of passed-in sample points used for the model fitting (parameter estimation). The default is 100, meaning 100%. INFOR_CRITERIA Enumerated list [Optional] Information criterion to be used in model selection. Options are AIC, AICc, BIC. Default is AIC. STEPWISE Integer [Optional] If true, then the function does stepwise selection. If false, the the function selects all models. A value of 1 means true. A value of 0 means false. Default is 0. NMODELS Integer Maximum number of models considered in the stepwise search. Default is 94. MAX_ITERATIONS Integer [Optional] The maximum number of iterations that can be employed to non-linear optimization procedure. Default is 100. COEFF_STATS Integer [Optional] Indicator to return coefficient statistical columns TSTAT_VALUE and TSTAT_PROB. A value of 1 means return the columns. A value of 0 means do not return the columns. Default is 0. FIT_METRICS Integer [Optional] Indicator to generate the secondary result set that contains the model metadata statistics. A value of 1 means generate the secondary result set. A value of 0 means do not generate the secondary result set. Default is 0. The generated result set is retrieved by issuing a TD_EXTRACT_RESULTS against the analytical result table containing the results.
RESIDUAL Integer [Optional] Indicator to generate the tertiary result set that contains the model residuals. A value of 1 means generate the tertiary result set. A value of 0 means do not generate the tertiary result set. Default is 0. The generated result set is retrieved by issuing a TD_EXTRACT_RESULTS against the analytical result table containing the results.
ARMA_ROOTS Integer [Optional] Indicator to generate the senary result set that contains the inverse AR and MA roots of result best model that TD_AUTOARIMA selected (the model in the primary output layer). There should be no inverse roots showing outside of the unit circle. A value of 1 means generate result set. A value of 0 means do not generate a result set.Default is 0. The generated result set is retrieved by issuing a TD_EXTRACT_RESULTS against the analytical result table containing the results.
TEST_NONSEASONAL Integer [Optional] Nonseasonal unit root test used to choose differencing number d. Default is ADF. TD_AUTOARIMA function only uses ADF test for nonseasonal unit root test.TEST_SEASONAL Integer [Optional] Seasonal unit root test used to choose differencing number D. Default is OCSB. TD_AUTOARIMA function only uses OCSB test for seasonal unit root test.