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5
votes
1answer
339 views

Estimate parameters of the state space model

I'm using Mathematica 9 and its Control Systems functionality. I've searched the references extensively but seem not to be able to find any examples of state space model parameters estimation. All ...
5
votes
0answers
174 views

Estimation of vector autoregressive (VAR) process

To estimate 1-dimensional VAR process (which is AR process) you can easily use functions EstimatedProcess or ...
2
votes
0answers
44 views

Plotting multiple curves with multiple axes (>2) on the same plot

I'm attempting to generate a graph that depicts mulitple time series, measured in different units (but with a common time scale) on the same graph. This is a generalization of the familiar ...
1
vote
0answers
68 views

TimeSeriesForecast Forecasts

I am trying to make sure I understand how TimeSeriesForecast works. I apologize in advance for the basic nature of this question. I am using Mathematica 10. I ...
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 ...
0
votes
0answers
130 views

Time series (stochastic process) estimating parameters using characteristic function

I have a time series of assets ${A_1, A_2, ..., A_n}$, which is described by a sophisticated distribution having the following characteristic function: $\phi(u; t;\theta)$, where $\theta$ is a vector ...
0
votes
0answers
49 views

Correct properties for LinearModelFit to produce an ARprocess

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 ...