Take the 2-minute tour ×
Mathematica Stack Exchange is a question and answer site for users of Mathematica. It's 100% free, no registration required.

I have AR model where the dependent variable has been lagged from one to six and added on the right hand side as independent/explanatory variables. From this explanation /AR and OLS, you can see that its the same method used for bot processes but they have different properties.

Would it be possible to correct for these differences in properties so that they would produce similar output?

In[367]:= 
    LinearModelFit[
      oneModel6, {Lag6, Lag5, Lag4, Lag3, Lag2, Lag1}, {Lag6, Lag5, Lag4, 
       Lag3, Lag2, Lag1}] // Normal

Out[367]= 0.0731966 + 0.94007 Lag1 + 0.065967 Lag2 + 0.0138268 Lag3 - 
 0.00506139 Lag4 - 0.0396571 Lag5 + 0.0246181 Lag6

In[371]:= EstimatedProcess[datafile[[2 ;;, 1]], ARProcess[6]]

Out[371]= ARProcess[{0.969106, 0.031289, 
  0.0108835, -0.00257615, -0.0160354, 0.006491}, 18.3826]
share|improve this question

Your Answer

 
discard

By posting your answer, you agree to the privacy policy and terms of service.

Browse other questions tagged or ask your own question.