www.gusucode.com > econ 案例源码程序 matlab代码 > econ/ARModelwithatInnovationDistributionExample.m
%% AR Model with a t Innovation Distribution % This example shows how to specify an AR($p$) model with a Student's _t_ % innovation distribution. % Copyright 2015 The MathWorks, Inc. %% % Specify an AR(2) model with no constant term, % % $${y_t} = {\phi _1}{y_{t - 1}} + {\phi _2}{y_{t - 2}} + {\varepsilon _t},$$ % % where the innovations follow a Student's _t_ distribution with unknown % degrees of freedom. model = arima('Constant',0,'ARLags',1:2,'Distribution','t') %% % The value of |Distribution| is a |struct| array with field |Name| equal % to |'t'| and field |DoF| equal to |NaN|. The |NaN| value indicates the % degrees of freedom are unknown, and need to be estimated using |estimate| % or otherwise specified by the user.