www.gusucode.com > econ 案例源码程序 matlab代码 > econ/DefaultARIMAModelExample.m
%% Default ARIMA Model % This example shows how to use the shorthand |arima(p,D,q)| syntax to specify % the default ARIMA(_p_, _D_, _q_) model, % % $${\Delta ^D}{y_t} = c + {\phi _1}{\Delta ^D}{y_{t - 1}} + \ldots + {\phi _p}{\Delta ^D}{y_{t - p}} + {\varepsilon _t} + {\theta _1}{\varepsilon _{t - 1}} + \ldots + {\theta _q}{\varepsilon _{t - q}},$$ % % where ${\Delta ^D}{y_t}$ is a $D^{th}$ differenced % time series. You can write this model in condensed form using lag operator % notation: % % $$\phi (L){(1 - L)^D}{y_t} = c + \theta (L){\varepsilon _t}.$$ % % By default, all parameters in the created model object have unknown values, % and the innovation distribution is Gaussian with constant variance. % Copyright 2015 The MathWorks, Inc. %% % Specify the default ARIMA(1,1,1) model: model = arima(1,1,1) %% % The output shows that the created model object, |model|, has |NaN| values for % all model parameters: the constant term, the AR and MA coefficients, and % the variance. You can modify the created model using dot notation, % or input it (along with data) to |estimate|. %% % The property |P| has value 2 (_p_ + _D_). This is the number of presample % observations needed to initialize the AR model.