Tagged Questions
4
votes
1answer
124 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 + ...
0
votes
0answers
97 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
178 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 ...
