Automatic ARIMA model identification in MATLAB (like auto.arima in R)

Is there a function in MATLAB to identify a suitable ARIMA model like it does in R (function of auto.arima in package forecast) or in other commercial forecasting products?

Answer 1

[Roger Wohlwend]

No, there is no such function. You can identify a suitable model with the Information criterions (AIC and BIC).

[Jonas]

There is some useful functions in System Identification Toolbox like " arx", that can find polynomial degree "p" of AR model.

• Can it help me to identify AR-part of ARMA/ARIMA model?
• And maybe SIT (Toolbox) contain other interesting function that can help to identify "p" and "q" for ARMA model?

[Sinan Islam]

Doesnt estimate do the same purpose as auto arima in R?

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