utils.m

%% Main function
function [f1,f2] = utils()
    f1 = @arima_remarks;
    f2 = @chowt;
end
%% arima_remarks
% Performs arima modelling for given parameters, residual analysis and test
% for significance of the coefficents
function [est_m,res,underfit_test,overfit_test] = arima_remarks(params,constant,vk,plots,verbose)
p = params(1);i=params(2);m=params(3);
model = arima(p,i,m); 
a = strcat('(' ,num2str(p),',', num2str(i), ',', num2str(m), ')') ;
if constant == 0
    model.Constant = constant;
end
est_m = estimate(model,vk);
% Residual analysis
% Residual computation
[res,~,~] = infer(est_m,vk);
if plots
    figure();
    % ACF of residuals
    subplot(2,1,1);
    autocorr(res,'NumLags',20)
    title(strcat('ACF of residuals from ARIMA', a, 'model'));
    box off;
    % PACF of residuals
    subplot(2,1,2);
    parcorr(res,'NumLags',20)
    title(strcat('PACF of residuals from ARIMA', a, 'model'));
    box off; 
end
% Whiteness test (test for underfit)
[h_model,pval_model] = lbqtest(res);
if verbose
    disp('Whiteness Test for Residuals results');
    disp(h_model);disp(pval_model);
end
underfit_test = ~h_model;
% uf = 1 means no underfit
% Test for overfit
summary = summarize(est_m);
sig = (summary.Table.PValue <= 0.05) | isnan(summary.Table.PValue);
overfit_test = prod(sig);
% of = 1 means no overfit
end
%% Chow test
% Perform chowtest at each of the given points and return vector of cp
function cp = chowt(X)%,y,points)
    cp = X;
end