www.gusucode.com > econ 案例源码程序 matlab代码 > econ/SpecifyaRegressionModelwithSARIMAErrors1Example.m
%% Specify a Regression Model with SARIMA Errors % Copyright 2015 The MathWorks, Inc. %% % Specify the following model: % % $$\begin{array}{*{20}{l}} % \begin{array}{c} % {y_t} = 1 + 6{X_t} + {u_t}\\ % (1 - 0.2L)(1 - L)(1 - 0.5{L^4} - 0.2{L^8})(1 - {L^4}){u_t} = (1 + 0.1L)(1 + 0.05{L^4} + 0.01{L^8}){\varepsilon _t}, % \end{array} % \end{array}$$ % % where $\varepsilon_{t}$ is Gaussian with variance 1. Mdl = regARIMA('Intercept',1,'Beta',6,'AR',0.2,... 'MA',0.1,'SAR',{0.5,0.2},'SARLags',[4, 8],... 'SMA',{0.05,0.01},'SMALags',[4 8],'D',1,... 'Seasonality',4,'Variance',1) %% % If you do not specify |SARLags| or |SMALags|, then the coefficients in % |SAR| and |SMA| correspond to lags 1 and 2 by default. Mdl = regARIMA('Intercept',1,'Beta',6,'AR',0.2,... 'MA',0.1,'SAR',{0.5,0.2},'SMA',{0.05,0.01},... 'D',1,'Seasonality',4,'Variance',1)