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ARMAX Model Definitions: General-Linear Polynomial Model Autoregressive With Exogenous Terms

An ARMAX model is a time series model that includes lagged dependent and independent variables as well as lagged error terms. It is more flexible than an ARX model in handling disturbances that enter early in the process. The ARMAX model equation shows the output (y) as a polynomial function of lagged inputs (u), lagged outputs, and lagged error terms (e). The coefficients are estimated using an iterative Gauss-Newton method to minimize the prediction error, though it may only find a local versus global minimum. Validation of the estimated model is required.

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215 views

ARMAX Model Definitions: General-Linear Polynomial Model Autoregressive With Exogenous Terms

An ARMAX model is a time series model that includes lagged dependent and independent variables as well as lagged error terms. It is more flexible than an ARX model in handling disturbances that enter early in the process. The ARMAX model equation shows the output (y) as a polynomial function of lagged inputs (u), lagged outputs, and lagged error terms (e). The coefficients are estimated using an iterative Gauss-Newton method to minimize the prediction error, though it may only find a local versus global minimum. Validation of the estimated model is required.

Uploaded by

Aaruni
Copyright
© © All Rights Reserved
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd
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ARMAX Model Definitions

An ARMAX is a model of lagged dependent variable and lagged


independent variable(s). On the other hand a linear regression with ARMA
errors is linear regression of a dependent variable on independent
variable(s) such that the errors (or residuals) are observed to follow an
ARMA model. ARMAX models are time series models and are estimated
using time series approaches. However the linear regression model is not a
time series model and be estimated using regression approach after which
an ARMA model can be fitted to the residuals. 

When D(z) and F(z) equal 1, the general-linear polynomial model reduces to an


autoregressive-moving average with exogenous terms (ARMAX) model. Unlike
the autoregressive with exogenous terms (ARX) model, the system structure of
an ARMAX model includes the stochastic dynamics. ARMAX models are
useful when you have dominating disturbances that enter early in the process,
such as at the input. For example, a wind gust affecting an aircraft is a
dominating disturbance early in the process. The ARMAX model has more
flexibility than the ARX model in handling models that contain disturbances.
Use the SI Estimate ARMAX Model VI to estimate ARMAX models. This VI
uses the Gauss-Newton method to optimize the mean square value of the
prediction error when searching for the optimal ARMAX model. This searching
process is iterative and might converge to a local minimum rather than a global
minimum. Therefore, you must validate the estimated model. If the estimated
model passes the validation test, you can use this model even if the SI Estimate
ARMAX Model VI might locate only a local minimum.
The following equation shows the form of the ARMAX model.
A(z)y(k) = B(z)u(k - n) + C(z)e(k)

where y(k) is the system outputs

u(k) is the system inputs

n is the system delay

e(k) is the system disturbance

A(z), B(z), and C(z) are polynomial with respect to the backward shift


operator z –1 and defined by the following equations.
The following figure depicts the signal flow of an ARMAX model.

where u is the system inputs

e is the system disturbance

y is the system outputs

A is A(z)

B is B(z)

C is C(z)

An ARMAX model simply adds in the covariate on the right hand


side:yt=βxt+ϕ1yt−1+⋯+ϕpyt−p−θ1zt−1−⋯−θqzt−q+ztyt=βxt+ϕ1yt−1+⋯+ϕpyt
−p−θ1zt−1−⋯−θqzt−q+zt

where xtxt is a covariate at time tt and

 ββ is its coefficient.

While this looks straight-forward, one disadvantage is that the covariate


coefficient is hard to interpret. The value of ββ is not the effect on ytyt when
the xtxt is increased by one (as it is in regression). The presence of lagged
values of the response variable on the right hand side of the equation mean
that ββ can only be interpreted conditional on the value of previous values of the
response variable, which is hardly intuitive.
If we write the model using backshift operators, the ARMAX model is given
byϕ(B)yt=βxt+θ(B)ztoryt=βϕ(B)xt+θ(B)ϕ(B)zt,ϕ(B)yt=βxt+θ(B)ztoryt=βϕ(B)xt
+θ(B)ϕ(B)zt,where ϕ(B)=1−ϕ1B−⋯−ϕpBpϕ(B)=1−ϕ1B−⋯−ϕpBp and θ(B)=1−
θ1B−⋯−θqBqθ(B)=1−θ1B−⋯−θqBq. Notice how the AR coefficients get
mixed up with both the covariates and the error term.

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