To estimate 1-dimensional VAR process (which is AR process) you can easily use functions EstimatedProcess or ...
I'm trying to generate a very simple AR(1) Process with Mathematica using the ARProcess function. The process must have the following format: $Y_t = \alpha + ...
I want to generate an EGARCH process. My problem is that I do not see how to create new processes beyond those available. The process itself is : $$\epsilon(t) = \sigma(t) \eta(t)$$ ...
I have 50 data points that I would like to represent as an AR(4) process. I'd like to over-plot the behaivor of the estimated process model with that of the original (raw) data before I use the model ...