www.gusucode.com > econ 案例源码程序 matlab代码 > econ/SpecifyMoreLagsForPACFPlotExample.m
%% Specify More Lags for the PACF Plot % Specify the multiplicative seasonal ARMA $(2,0,1)\times(3,0,0)_{12}$ model: % % $$(1-0.75L-0.15L^2)(1-0.9L^{12}+0.75L^{24}-0.5L^{36})y_t = 2+\varepsilon_t-0.5\varepsilon_{t-1},$$ % % where $\varepsilon_t$ is Gaussian with mean 0 and variance 1. % Copyright 2015 The MathWorks, Inc. Mdl = arima('AR',{0.75,0.15},'SAR',{0.9,-0.75,0.5},... 'SARLags',[12,24,36],'MA',-0.5,'Constant',2,... 'Variance',1); %% % Simulate data from |Mdl|. rng(1); y = simulate(Mdl,1000); %% % Plot the default partial autocorrelation function (PACF). figure parcorr(y) %% % The default correlogram does not display the dependence structure for % higher lags. %% % Plot the PACF for 40 lags. figure parcorr(y,40) %% % The correlogram shows the larger correlations at lags 12, 24, and 36.