www.gusucode.com > econ 案例源码程序 matlab代码 > econ/MovingAverageModelExample.m

    %% Moving Average Model  
% This example shows how to calculate and plot the impulse response function
% for a moving average (MA) model. The MA(_q_) model is given by 
%
% $${y_t} = \mu  + \theta (L){\varepsilon _t},$$
%
% where $\theta(L)$ is a _q_-degree
% MA operator polynomial, $(1 + {\theta _1}L +  \ldots  + {\theta _q}{L^q}).$ 
%
% The impulse response function for an MA model is the sequence of MA
% coefficients, $1,{\theta _1}, \ldots ,{\theta _q}.$   

% Copyright 2015 The MathWorks, Inc.


%% Step 1. Specify the MA model. 
% Specify a zero-mean MA(3) model with coefficients $\theta_1 = 0.8$,
% $\theta_2 = 0.5$, and $\theta_3 = -0.1.$
modelMA = arima('Constant',0,'MA',{0.8,0.5,-0.1});  

%% Step 2. Plot the impulse response function. 
impulse(modelMA)    

%%
% For an MA model, the impulse response function cuts off after _q_ periods.
% For this example, the last nonzero coefficient is at lag _q_ = 3.