7.00.02 - VARMAX Arguments - Aster Analytics

Teradata Aster® Analytics Foundation User GuideUpdate 2

Product
Aster Analytics
Release Number
7.00.02
Published
September 2017
Content Type
Programming Reference
User Guide
Publication ID
B700-1022-700K
Language
English (United States)
ResponseColumns
Specifies the columns containing the response data. Null values are allowed at the end of the series. If you specify StepAhead, the function reports predicted values for the missing values, using values from the predictor columns for those time periods.
ExogenousColumns
[Optional] Specifies the columns containing the exogenous (independent) predictors. Default behavior: The function calculates the model without exogenous vectors.
PartitionColumns
[Optional] Specifies the partition columns to pass to the output.
Orders
[Required if orders_table is omitted, disallowed otherwise.] Specifies the parameters p, d, and q for the VARMA part of the model. These values must be nonnegative integers in the range [0, 20].
SeasonalOrders
[Optional if orders_table is omitted, disallowed otherwise.] Specifies seasonal parameters sp, sd, and sq for the VARMA part of the model. These values must be nonnegative integers in the range [0, 20]. Default behavior: The function treats the model as nonseasonal.
If you specify this argument, you must also specify the Period argument.
Period
[Optional if orders_table is omitted, disallowed otherwise.] Specifies the period of each season. The period must be a positive INTEGER value. Default behavior: The function treats the model as nonseasonal.
If you specify this argument, you must also specify the SeasonalOrders argument.
ExogenousOrder
[Optional] Specifies the order of the exogenous variables. If the current time is t and ExogenousOrder is b, the following values of the exogenous time series are used in calculating the response: X t X t-1 ... X t-b+1. Default behavior: The function calculates the model without exogenous vectors.
Lag
[Optional] Specifies the lag in the effect of the exogenous variables on the response variables. For example, if lag is 3, and ExogenousOrder is b, the prediction Y i is based on X i-3 to X i-b-2. Default: 0.
IncludeMean
[Optional if orders_table is omitted, disallowed otherwise.] Specifies whether to add the mean vector of the response series in the VARMAX model. Default: 'false'.
If this argument is 'true', the values of the difference parameters d (in the Orders argument) and sd (in the SeasonalOrders argument) must be 0.
IncludeDrift
[Optional if orders_table is omitted, disallowed otherwise.] Specifies whether to add the drift term of the response series in the VARMAX model. The drift term applies only when d is 1. Default: 'false'.
IncludeDrift and IncludeMean cannot both be true. If either the arguments or order table specifies true for both IncludeDrift and IncludeMean, the function issues an error message.
MaxIterNum
[Optional] Specifies the maximum number of iterations performed. The max_iteration_number must be a positive INTEGER value. Default: 100.
StepAhead
[Optional] Specifies the number of steps to forecast after the end of the time series. The predict_steps must be a positive INTEGER value. Default behavior: The function calculates no forecast values.
Method
[Optional] Specifies the method for fitting the model parameters:
  • 'SSE' (Default): Sum of squared error
  • 'ML': Maximum likelihood