www.gusucode.com > econ 案例源码程序 matlab代码 > econ/MAModelwithNonconsecutiveLagsExample.m
%% MA Model with Nonconsecutive Lags % This example shows how to specify an MA(_q_) model with nonzero coefficients % at nonconsecutive lags. % Copyright 2015 The MathWorks, Inc. %% % Specify an MA(4) model with nonzero MA coefficients at lags 1 and 4 (an % no constant term), % % $${y_t} = {\varepsilon _t} + {\theta _1}{\varepsilon _{t - 1}} + {\theta _{12}}{\varepsilon _{t - 12}},$$ % % where the innovation distribution is Gaussian with constant variance. model = arima('MALags',[1,4],'Constant',0) %% % The output shows the nonzero AR coefficients at lags 1 and 4, as specified. % The property |Q| is equal to |4|, the number of presample innovations % needed to initialize the MA model. The unconstrained parameters are equal % to |NaN|. %% % Display the value of |MA|: model.MA %% % The |MA| cell array returns four elements. The first and last elements % (corresponding to lags 1 and 4) have value |NaN|, indicating these coefficients % are nonzero and need to be estimated or otherwise specified by the user. % |arima| sets the coefficients at interim lags equal to zero to maintain % consistency with MATLAB(R) cell array indexing.