ARIMA model (infer the inputs)

조회 수: 1 (최근 30일)

Alex 2019년 12월 19일

댓글: Alex 2019년 12월 20일

Hello!

I have to estimate the following MA(1) model

where

is available time series. I can estimate the model parameter a and its variance using arima/estimate. However, how do I get the time series

after the model is estimated?

Thank you!

Ridwan Alam 2019년 12월 20일

hmm.. just to be sure, you want to infer et, not rt, right?

Alex 2019년 12월 20일

Yes, exactly (rt is known)!

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