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Time Series Packages
 

Time Series Model Package

ARIMASPEC Methods

ARIMASPEC.AddARPoly Method

  • rc=obj.AddARPoly (OrderArray <, NOrder, Seasonal, CoeffArray>);

Adds an autoregressive (AR) polynomial factor to ARIMA model. Additional AR polynomial factors can be added to the ARIMA model with subsequent calls to this method.

Input Arguments

You must specify the following input argument:

OrderArray

is a numeric array that specifies AR polynomial lags. Valid values are integers greater than or equal to 1.

You can also specify the following input arguments:

NOrder

takes a numeric variable that specifies the number of OrderArray values to use. If you do not specify NOrder, or if you specify no value or a missing value for it, it is set to the length of OrderArray—that is, all values in OrderArray are used.

Seasonal

takes a Boolean value (0 or 1) that, when set to 1, specifies that the AR polynomial is seasonal. By default, the AR polynomial is not seasonal and the lags of the AR polynomial are simple.

CoeffArray

is a numeric array that specifies the initial values of AR polynomial coefficients. If you set the 'NOEST' option to 1 by using the ARIMASPEC.SetOption method, then these initial values are also the final values of the coefficients. If you specify this argument, then you must also complete all the following tasks:

ARIMASPEC.AddMAPoly Method

  • rc=obj.AddMAPoly (OrderArray <, NOrder, Seasonal, CoeffArray>);

Adds a moving average (MA) polynomial factor to ARIMA model. More MA polynomial factors can be added to the ARIMA model by subsequent calls to the this method.

Input Arguments

You must specify the following input argument:

OrderArray

is a numeric array that specifies MA polynomial lags. Valid values are integers greater than or equal to 1.

You can also specify the following input arguments:

NOrder

takes a numeric variable that specifies the number of OrderArray values to use. If you do not specify NOrder, or if you specify no value or a missing value for it, it is set to the length of OrderArray—that is, all values in OrderArray are used.

Seasonal

takes a Boolean value (0 or 1) that, when set to 1, specifies that the MA polynomial is seasonal. By default, the MA polynomial is not seasonal and the lags of the MA polynomial are simple.

CoeffArray

is a numeric array that specifies the initial values of MA polynomial coefficients. If you set the 'NOEST' option to 1 by using the ARIMASPEC.SetOption method, then these initial values are also the final values of the coefficients. If you specify this argument, then you must also complete all the following tasks:

ARIMASPEC.AddTF Method

  • rc=obj.AddTF (XName <, Delay, DifArray, NDiff, ConstCoeff>);

Adds a transfer function to the ARIMA model for the specified XName variable. This method adds the variable as a simple scale effect subject to any specified lag and differencing that might be applied.

Input Arguments

You must specify the following input argument:

XName

is a character string that specifies the name of the X variable.

You can also specify the following input arguments:

Delay

takes a numeric value that specifies the simple delay for the predictor. The default value is 0.

DiffArray

is a numeric array that specifies differencing orders for the X variable. Valid values are integers greater than or equal to 1. If you do not specify DiffArray, or if you specify no value for it, then no differencing is applied. Values in DiffArray are interpreted as follows:

  • Negative values are not allowed and result in an error condition.

  • Nonnegative values represent differencing orders.

  • An .S missing value is interpreted to include seasonal difference order.

  • Any other missing value is ignored.

NDiff

takes a numeric value that specifies the number of DiffArray values to use. If you do not specify NDiff, or if you specify no value or a missing value for it, then all the values in DiffArray are used.

ConstCoeff

takes a numeric value that specifies the initial value of the scale parameter—that is, the zero-degree coefficient of the numerator. If you set the 'NOEST' option to 1 by using the ARIMASPEC.SetOption method, then this initial value is also the final value of the coefficient. If you specify this argument, then you must also complete the following tasks:

ARIMASPEC.AddTFDenPoly Method

  • rc=obj.AddTFDenPoly (XName, DenArray <, NDen, Seasonal, CoeffArray>);

Adds a transfer function denominator polynomial factor for the specified XName variable. More polynomials can be added by subsequent calls to the ARIMASPEC.AddTFNumPoly method.

Input Arguments

You must specify the following input argument:

XName

is a character string that specifies the name of the X variable.

DenArray

is a numeric array that specifies denominator polynomial lags for the X variable. Valid values are integers greater than 0.

You can also specify the following input arguments:

NDen

takes a numeric value that specifies the number of DenArray values to use. Valid values are integers greater than 0. If you do not specify NDen, or if you specify no value or a missing value for it, it is set to the length of DenArray—that is, all values in DenArray are used.

Seasonal

takes a Boolean value (0 or 1) that, when set to 1, specifies that the denominator polynomial is seasonal. By default, the denominator polynomial is not seasonal and the lags of the denominator polynomial are simple.

CoeffArray

is a numeric array that specifies the initial values of denominator polynomial coefficients. If you set the 'NOEST' option to 1 by using the ARIMASPEC.SetOption method, then these initial values are also the final values of the coefficients. If you specify this argument, then you must also complete all the following tasks:

ARIMASPEC.AddTFNumPoly Method

  • rc=obj.AddTFNumPoly (XName, NumArray <, NNum, Seasonal, CoeffArray>);

Adds a transfer function numerator polynomial factor for the specified XName variable. More polynomials can be added by subsequent calls to the ARIMASPEC.AddTFNumPoly method.

Input Arguments

You must specify the following input argument:

XName

is a character string that specifies the name of the X variable.

NumArray

is a numeric array that specifies numerator polynomial lags for the X variable. Valid values are integers greater than 0.

You can also specify the following input arguments:

NNum

takes a numeric value that specifies the number of NumArray values to use. If you do not specify NNum, or if you specify no value or a missing value for it, it is set to the length of NumArray—that is, all values in NumArray are used.

Seasonal

takes a Boolean value (0 or 1) that, when set to 1, specifies that the numerator polynomial is seasonal. By default, the numerator polynomial is not seasonal and the lags of the numerator polynomial are simple.

CoeffArray

is a numeric array that specifies the initial values of numerator polynomial coefficients. If you set the 'NOEST' option to 1 by using the ARIMASPEC.SetOption method, then these initial values are also the final values of the coefficients. If you specify this argument, then you must also complete all the following tasks:

ARIMASPEC.Close Method

  • rc=obj.Close ();

Finalizes the ARIMASPEC object to prepare the ARIMA model to be used in a TSM object or to be imported to a TSMSPEC object for printing or for storage in a model repository.

Arguments

There are no arguments associated with this method.

ARIMASPEC.GetLabel Method

  • rc=obj.GetLabel ();

Retrieves the label of the specified ARIMA model and stores it in the return variable, rc.

Arguments

There are no arguments associated with this method.

ARIMASPEC.Open Method

  • rc=obj.Open ();

Initializes an empty ARIMASPEC object for configuration.

Arguments

There are no arguments associated with this method.

ARIMASPEC.SetDiff Method

  • rc=obj.SetDiff (DiffArray <, NDiff>);

Adds differencing to the ARIMA model.

Input Arguments

You must specify the following input argument:

DiffArray

is a numeric array that specifies differencing orders, where each order must be an integer greater than or equal to 1. Values in DiffArray are interpreted as follows:

  • Negative values are not allowed and result in an error condition.

  • Nonnegative integer values represent differencing orders.

  • An .S missing value is interpreted to include seasonal difference order.

  • Any other missing value is ignored.

You can also specify the following input argument:

NDiff

takes a numeric value that specifies the number of DiffArray values to use. The default is to use all elements of DiffArray.

ARIMASPEC.SetOption Method

  • rc=obj.SetOption ('Name', Value <, 'Name', Value, …>);

Specifies ARIMA model options. Options are ('Name',Value) pairs where 'Name' is a case-insensitive character string and Value depends on the 'Name'.

Input Arguments

You must specify at least one of the following 'Names' and its associated Value:

'CONVERGE'

takes a numeric Value between 0 and 1, exclusive, that specifies the convergence criterion. Convergence is assumed when the largest change in the estimate for any parameter is less than the specified Value. If the absolute value of the parameter estimate is greater than 0.01, the relative change is used; otherwise, the absolute change in the estimate is used. The default is 0.001.

'DELTA'

takes a numeric Value between 0 and 1, exclusive, that specifies the perturbation value for computing numerical derivatives. The default is 0.001.

'MAXITER'

takes a positive integer Value that specifies the maximum number of iterations allowed. The default is 50.

'METHOD'

takes a string Value that specifies the estimation method to use. You can specify one of the following Values:

CLS

specifies the conditional least squares method.

ML

specifies the maximum likelihood method.

ULS

specifies the unconditional least squares method.

The default is CLS.

'MU'

takes a numeric Value that specifies a constant term for the ARIMA model. The default is 0.

'NOEST'

takes a Boolean Value (0 or 1) that, when set to 1, specifies that no estimation is performed. The default is 0 (estimation is performed).

'NOINT'

takes a Boolean Value (0 or 1) that, when set to 1, specifies that the model should not have an intercept. This suppresses the fitting of a constant (or intercept) parameter in the model, and the 'MU' Value that you specify is ignored. The default is 0 (model has an intercept).

'NOSTABLE'

takes a Boolean Value (0 or 1) that, when set to 1, requests that the autoregressive and moving average parameter estimates for the noise part of the model not be restricted to the stationary and invertible regions, respectively. The default is 0 (parameter estimates for the noise part of the model are restricted).

'SINGULAR'

takes a numeric Value between 0 and 1, exclusive, that specifies the criterion for checking singularity. If a pivot of a sweep operation is less than Value, the matrix is deemed singular. Sweep operations are performed on the Jacobian matrix during final estimation and on the covariance matrix when preliminary estimates are obtained. The default is 1E–7.

ARIMASPEC.SetTFTransform Method

  • rc=obj.SetTFTransform (XName, 'Type', <Parm>);

Specifies a functional transform for specified XName variable.

Input Arguments

You must specify the following input arguments:

XName

is a character string that specifies the name of the X variable.

'Type'

takes a string value that specifies the functional transform to use. You can specify the following values:

BOXCOX

requests Box-Cox transformation. You can specify the control parameter for the transformation by using the optional Parm argument, whose value must be between –5 and 5. The default value of Parm is 1.

LOG

requests logarithmic transformation.

LOGIT | LOGISTIC

requests logistic transformation.

NONE

does not apply a transformation.

SQRT

specifies square-root transformation.

The default is NONE.

You can also specify the following input argument:

Parm

takes a numeric value between –5 and 5 that specifies a control parameter. This parameter is allowed only for Box-Cox transformations. The default is 1.

ARIMASPEC.SetTransform Method

  • rc=obj.SetTransform ('Type' <,'Option',Parm>);

Specifies the functional transform 'Type' to be used by the ARIMA model. Optional arguments Option and Parm offer greater control over the transform.

Input Arguments

You must specify the following input argument:

'Type'

takes a string value that specifies the functional transform to use. You can specify the following values:

BOXCOX

requests Box-Cox transformation. You can specify the control parameter for the transformation by using the optional Parm argument, whose value must be between –5 and 5. The default value of Parm is 1.

LOG

requests logarithmic transformation.

LOGIT | LOGISTIC

requests logistic transformation.

NONE

does not apply a transformation.

SQRT

specifies square-root transformation.

The default is NONE.

You can also specify the following input arguments:

'Option'

takes a string value that specifies prediction semantics for the inverse transform. You can specify the following values:

MEAN

requests that the inverse transform produce mean forecasts.

MEDIAN

requests that the inverse transform produce median forecasts.

The default is MEAN.

Parm

takes a numeric value between –5 and 5 that specifies a control parameter. This parameter is allowed only for Box-Cox transformations. The default is 1.

Last updated: June 04, 2026