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Owning Palette: Modeling and Prediction VIs

Installed With: Advanced Signal Processing Toolkit

Estimates the autoregressive-moving average (ARMA) model of an input univariate or multivariate (vector) time series according to the method you specify. Wire data to the Xt input to determine the polymorphic instance to use or manually select the instance.

Details  Examples

Use the pull-down menu to select an instance of this VI.

Select an instance TSA ARMA Modeling (waveform)TSA ARMA Modeling (array)TSA Vector ARMA Modeling (waveform)TSA Vector ARMA Modeling (array)

TSA ARMA Modeling (waveform)

	Xt specifies the input univariate time series.
	method specifies the method to use in estimating the autoregressive-moving average model. 0 Yule-Walker (default)—Computes the AR coefficients and the MA coefficients separately with the extended Yule-Walker function based on the auto-correlation matrix. 1 High order AR—Computes the AR coefficients and the MA coefficients with a high-order AR model. 2 Polynomial—Computes the AR coefficients and the MA coefficients by solving the model-coefficient polynomial division.
	ARMA order specifies the orders of the autoregressive-moving average model. AR specifies the AR order of the autoregressive-moving average model. The value of AR must be equal to or greater than 0. The value of AR cannot be zero if the value of MA is zero. The default is 4. MA specifies the MA order of the autoregressive-moving average model. The value of MA must be equal to or greater than 0. The value of MA cannot be zero if the value of AR is zero. The default is 3.
	error in describes error conditions that occur before this VI or function runs. The default is no error. If an error occurred before this VI or function runs, the VI or function passes the error in value to error out. This VI or function runs normally only if no error occurred before this VI or function runs. If an error occurs while this VI or function runs, it runs normally and sets its own error status in error out. Use the Simple Error Handler or General Error Handler VIs to display the description of the error code. Use error in and error out to check errors and to specify execution order by wiring error out from one node to error in of the next node. status is TRUE (X) if an error occurred before this VI or function ran or FALSE (checkmark) to indicate a warning or that no error occurred before this VI or function ran. The default is FALSE. code is the error or warning code. The default is 0. If status is TRUE, code is a nonzero error code. If status is FALSE, code is 0 or a warning code. source specifies the origin of the error or warning and is, in most cases, the name of the VI or function that produced the error or warning. The default is an empty string.
	AR coefficients returns the estimated AR coefficients of the autoregressive-moving average model.
	MA coefficients returns the estimated MA coefficients of the autoregressive-moving average model.
	noise returns the estimated white noise of the autoregressive-moving average model.
	error out contains error information. If error in indicates that an error occurred before this VI or function ran, error out contains the same error information. Otherwise, it describes the error status that this VI or function produces. Right-click the error out front panel indicator and select Explain Error from the shortcut menu for more information about the error. status is TRUE (X) if an error occurred or FALSE (checkmark) to indicate a warning or that no error occurred. code is the error or warning code. If status is TRUE, code is a nonzero error code. If status is FALSE, code is 0 or a warning code. source describes the origin of the error or warning and is, in most cases, the name of the VI or function that produced the error or warning.

TSA ARMA Modeling (array)

	Xt specifies the input univariate time series.
	method specifies the method to use in estimating the autoregressive-moving average model. 0 Yule-Walker (default)—Computes the AR coefficients and the MA coefficients separately with the extended Yule-Walker function based on the auto-correlation matrix. 1 High order AR—Computes the AR coefficients and the MA coefficients with a high-order AR model. 2 Polynomial—Computes the AR coefficients and the MA coefficients by solving the model-coefficient polynomial division.
	ARMA order specifies the orders of the autoregressive-moving average model. AR specifies the AR order of the autoregressive-moving average model. The value of AR must be equal to or greater than 0. The value of AR cannot be zero if the value of MA is zero. The default is 4. MA specifies the MA order of the autoregressive-moving average model. The value of MA must be equal to or greater than 0. The value of MA cannot be zero if the value of AR is zero. The default is 3.
	error in describes error conditions that occur before this VI or function runs. The default is no error. If an error occurred before this VI or function runs, the VI or function passes the error in value to error out. This VI or function runs normally only if no error occurred before this VI or function runs. If an error occurs while this VI or function runs, it runs normally and sets its own error status in error out. Use the Simple Error Handler or General Error Handler VIs to display the description of the error code. Use error in and error out to check errors and to specify execution order by wiring error out from one node to error in of the next node. status is TRUE (X) if an error occurred before this VI or function ran or FALSE (checkmark) to indicate a warning or that no error occurred before this VI or function ran. The default is FALSE. code is the error or warning code. The default is 0. If status is TRUE, code is a nonzero error code. If status is FALSE, code is 0 or a warning code. source specifies the origin of the error or warning and is, in most cases, the name of the VI or function that produced the error or warning. The default is an empty string.
	AR coefficients returns the estimated AR coefficients of the autoregressive-moving average model.
	MA coefficients returns the estimated MA coefficients of the autoregressive-moving average model.
	noise returns the estimated white noise of the autoregressive-moving average model.
	error out contains error information. If error in indicates that an error occurred before this VI or function ran, error out contains the same error information. Otherwise, it describes the error status that this VI or function produces. Right-click the error out front panel indicator and select Explain Error from the shortcut menu for more information about the error. status is TRUE (X) if an error occurred or FALSE (checkmark) to indicate a warning or that no error occurred. code is the error or warning code. If status is TRUE, code is a nonzero error code. If status is FALSE, code is 0 or a warning code. source describes the origin of the error or warning and is, in most cases, the name of the VI or function that produced the error or warning.

TSA Vector ARMA Modeling (waveform)

	Xt specifies the input multivariate (vector) time series.
	ARMA order specifies the orders of the autoregressive-moving average model. AR specifies the AR order of the autoregressive-moving average model. The value of AR must be equal to or greater than 0. The value of AR cannot be zero if the value of MA is zero. The default is 4. MA specifies the MA order of the autoregressive-moving average model. The value of MA must be equal to or greater than 0. The value of MA cannot be zero if the value of AR is zero. The default is 3.
	error in describes error conditions that occur before this VI or function runs. The default is no error. If an error occurred before this VI or function runs, the VI or function passes the error in value to error out. This VI or function runs normally only if no error occurred before this VI or function runs. If an error occurs while this VI or function runs, it runs normally and sets its own error status in error out. Use the Simple Error Handler or General Error Handler VIs to display the description of the error code. Use error in and error out to check errors and to specify execution order by wiring error out from one node to error in of the next node. status is TRUE (X) if an error occurred before this VI or function ran or FALSE (checkmark) to indicate a warning or that no error occurred before this VI or function ran. The default is FALSE. code is the error or warning code. The default is 0. If status is TRUE, code is a nonzero error code. If status is FALSE, code is 0 or a warning code. source specifies the origin of the error or warning and is, in most cases, the name of the VI or function that produced the error or warning. The default is an empty string.
	AR coefficients returns the estimated AR coefficients of the vector autoregressive-moving average model.
	MA coefficients returns the estimated MA coefficients of the vector autoregressive-moving average model.
	noise returns the estimated multivariate white noise series of the vector autoregressive-moving average model.
	error out contains error information. If error in indicates that an error occurred before this VI or function ran, error out contains the same error information. Otherwise, it describes the error status that this VI or function produces. Right-click the error out front panel indicator and select Explain Error from the shortcut menu for more information about the error. status is TRUE (X) if an error occurred or FALSE (checkmark) to indicate a warning or that no error occurred. code is the error or warning code. If status is TRUE, code is a nonzero error code. If status is FALSE, code is 0 or a warning code. source describes the origin of the error or warning and is, in most cases, the name of the VI or function that produced the error or warning.

TSA Vector ARMA Modeling (array)

	Xt specifies the input multivariate (vector) time series. Each column of the 2D array represents a vector at certain time.
	ARMA order specifies the orders of the autoregressive-moving average model. AR specifies the AR order of the autoregressive-moving average model. The value of AR must be equal to or greater than 0. The value of AR cannot be zero if the value of MA is zero. The default is 4. MA specifies the MA order of the autoregressive-moving average model. The value of MA must be equal to or greater than 0. The value of MA cannot be zero if the value of AR is zero. The default is 3.
	error in describes error conditions that occur before this VI or function runs. The default is no error. If an error occurred before this VI or function runs, the VI or function passes the error in value to error out. This VI or function runs normally only if no error occurred before this VI or function runs. If an error occurs while this VI or function runs, it runs normally and sets its own error status in error out. Use the Simple Error Handler or General Error Handler VIs to display the description of the error code. Use error in and error out to check errors and to specify execution order by wiring error out from one node to error in of the next node. status is TRUE (X) if an error occurred before this VI or function ran or FALSE (checkmark) to indicate a warning or that no error occurred before this VI or function ran. The default is FALSE. code is the error or warning code. The default is 0. If status is TRUE, code is a nonzero error code. If status is FALSE, code is 0 or a warning code. source specifies the origin of the error or warning and is, in most cases, the name of the VI or function that produced the error or warning. The default is an empty string.
	AR coefficients returns the estimated AR coefficients of the vector autoregressive-moving average model.
	MA coefficients returns the estimated MA coefficients of the vector autoregressive-moving average model.
	noise returns the estimated multivariate white noise series of the vector autoregressive-moving average model. Each column of the 2D array is a vector at certain time.
	error out contains error information. If error in indicates that an error occurred before this VI or function ran, error out contains the same error information. Otherwise, it describes the error status that this VI or function produces. Right-click the error out front panel indicator and select Explain Error from the shortcut menu for more information about the error. status is TRUE (X) if an error occurred or FALSE (checkmark) to indicate a warning or that no error occurred. code is the error or warning code. If status is TRUE, code is a nonzero error code. If status is FALSE, code is 0 or a warning code. source describes the origin of the error or warning and is, in most cases, the name of the VI or function that produced the error or warning.

TSA ARMA Modeling Details

This VI estimates the autoregressive (AR) model according to the following equation:

X_t + a₁X_t–1 + ,…, + a_NaX_t–Na = e_t + b₁e_t–1 + ,…, + b_Nbe_t–Nb

where N_a is the AR order, N_b is the MA order, X_t is a univariate or multivariate (vector) time series, and e_t is a Gaussian white noise series with a mean of zero.

For univariate time series, AR coefficients is a 1D array [1, a₁, a₂, …, a_Na], where each coefficient a_i is a real number. MA coefficients is a 1D array [1, b₁, b₂, …, b_Nb], where each coefficient b_i also is a real number.

For multivariate time series, AR coefficients is a 1D array [I, a₁, a₂, …, a_Na], where each coefficient a_i is a 2D array cluster. MA coefficients is a 1D array [I, b₁, b₂, …, b_Nb], where each coefficient b_i also is a 2D array cluster.

The minimum length requirement for the input time series differs for each method you use:

• Yule-Walker method: minimum length ≥ AR order + MA order
• High-Order AR method: minimum length ≥ 5 × MA order
• Polynomial method: minimum length ≥ 5 × (AR order + MA order)

Examples

Refer to the following VIs for examples of using the TSA ARMA Modeling VI:

• Engine Knocking Monitor VI: labview\examples\Time Series Analysis\TSAApplications.llb
• ARMA Prediction VI: labview\examples\Time Series Analysis\TSAGettingStarted.llb
• ARMA Model Estimation VI: labview\examples\Time Series Analysis\TSAGettingStarted.llb