0
votes
0answers
66 views

Undo differences in a time series

I have estimated and ARMA process in Mathematica using data which I have had to take the 2nd difference of to remove the trend. I have managed to fit a model to the detrended data but cannot work out ...
5
votes
0answers
178 views

Estimation of vector autoregressive (VAR) process

To estimate 1-dimensional VAR process (which is AR process) you can easily use functions EstimatedProcess or ...
4
votes
1answer
234 views

AR(1) Process first term

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 + ...
1
vote
1answer
188 views

build and estimate a time series process

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 : $$\epsilon(t) = \sigma(t) \eta(t)$$ ...
4
votes
2answers
442 views

Fitting data to an ARProcess using FindProcessParameters

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 ...