Model creation tool for econometric models

摘要

A model creation tool is provided that automatically evaluates potential econometric models and, given a set of historical data on which the model is intended to operate and other constraints, automatically identifies an optimum model. The optimum model may be an autoregressive model. The optimum model is defined by a set of optimum model parameters and optimum model coefficients. The optimum model parameters may include a model order such as an autoregressive model order, a seasonality function parameter, a trend function parameter, and a parameter that sets a tolerance that is used when performing principal components dimension reduction operations on the historical data.