How to specify a seasonal ARIMA model

I need to specify a seasonal ARIMA model, ARIMA(2,0,1)(0,1,1)24. How can I specify it in MATLAB?

Answer 1

[Shivam Lahoti]

Hi Md. Golam,

To specify a seasonal ARIMA model with the given parameters you can use the 'arima' function as follows:

% Define the non-seasonal component
ARLags = [1, 2]; % Autoregressive lags for non-seasonal component
MALags = 1;      % Moving average lags for non-seasonal component
D = 0;           % Non-seasonal differencing

% Define the seasonal component
SARLags = [];    % No seasonal autoregressive terms
SMALags = 24;    % Seasonal moving average lag
Seasonality = 24;% Number of periods in a season
SD = 1;          % Seasonal differencing order

% Create the ARIMA model
model = arima('ARLags', ARLags, 'D', D, 'MALags', MALags, ...
    'SARLags', SARLags, 'SMALags', SMALags, ...
    'Seasonality', Seasonality, 'D', SD);

This will create an ARIMA(2,0,1)(0,1,1)24 model as you described. To understand more about the 'arima' function, kindly refer to the following documentation:

https://www.mathworks.com/help/econ/arima.html

I hope it was helpful.

Regards,

Shivam.