ARIMA with two or more seasonality

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rabbahs
rabbahs on 1 May 2013
Dear All, Currently I am performing a time series analysis in which two seasonality are present in the data i.e. weekly and yearly seasonality. I believe that current Matlab's econometric toolbox can only hand one seasonality.i.e. (p,d,q)(P,D,Q)s but in my case the model look like to be (p,d,q)(P1,D1,Q1)s1(P2,D2,Q2)s2. Because I was unable to find such function that can handle two seasonality therefore I wrote my own script to calculate the parameters and it was a success. Now I was to find the best model for my data using the AIC and writing script for each model is quite tedious and time taken. Therefore is their is a way to calculate my model parameters for two seasonality in Matlab? in econometric tool box? ARIMAX?or guide me to some other software?I already checked R, it is only for one seasonality. I hope that I have explained my problem completely. If not then I will be happy to give further explanation.

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