Hi,i want to solve a arima model for a 3 differents lags(1,12,30) ,for all maturities( columns) and extract its coefficient
for just one lag and one maturity(for exmple for 6 month==column 1 )i wrote below code
AR_gy96 = arima('Constant',NaN,'ARLags',1,'Distribution','Gaussian');
AR_gy96 = estimate(AR_gy96,gyields(:,1),'Display','off');
and it works
AR=zeros(13,1);
for i=1:13
AR(i,:) = arima('Constant',NaN,'ARLags',1,'Distribution','Gaussian');
AR(i,:) = estimate(AR(i,:),gyields(:,i),'Display','off');
beta(i,:) =AR(i,:) .Coefficients.Estimate';
end
it dose not work,please help me.

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도움말 센터File Exchange에서 Conditional Mean Models에 대해 자세히 알아보기

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2020년 5월 16일

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2020년 5월 16일

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