ARMA Error
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Hi all,
I am new in matlab and I am trying to create a simple ARMA(q,p) model which will estimate the best fit parameter automated and then predict the return of the following day. I have a stock daily prices(QQQ) and my code is below.
pr=price2ret(QQQ);
model=armax(pr(1:end-150),[1 2]);
mbest=pem(pr(end-150:end,model);
y = predict(model,pr);
plot(pr(151:end),y(151:end));
If I run this code it will give me a idpoly model(model) and a double 1x1 cell for y variable with an Error
??? Error using ==> plot
Conversion to double from cell is not possible.
I will really appreciate if someone could assist me on this error and give me an insight how can I compile this error! I had tried to use the compare function but it is also give me an error. Does anyone has a better ideas how can I find the best fit parameters for an ARMA model ???
Thanks in advance
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Answers (2)
Walter Roberson
on 29 Dec 2011
The output yp is an iddata object containing the predicted values as OutputData.
Notice it is iddata, not a numeric array.
Perhaps you want to get(yp, 'OutputData') as described at http://www.mathworks.com/help/toolbox/ident/ref/iddata.html
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