How to estimate the parameter for auto-regressive var by fixing the parameters for exogenous var
조회 수: 2 (최근 30일)
이전 댓글 표시
Hi All,
I've got two time series, "A" and "B" and please let me know how to apply an ARX model in below two steps?
Step 1 - Find correlation coefficients between "A" and "B" for lag 5, only using "B" as follows;
DataARX = iddata(A(:,1),B(:,1));%,1,'TimeUnit','days');
ARXModel = arx(DataARX,[0 5 0]);
Step 2 - How to calculate the serial correlation coefficients for "A" by fixing the correlation coefficients found during step 1?
P.S. - Final ARX model would be a combination of step 1 and step 2 coefficients.
Experts please help me out,
Thanking you in advance,
Kushan
답변 (0개)
참고 항목
카테고리
Help Center 및 File Exchange에서 Conditional Mean Models에 대해 자세히 알아보기
제품
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!