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5
votes
1answer
394 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
217 views

Estimation of vector autoregressive (VAR) process

To estimate 1-dimensional VAR process (which is AR process) you can easily use functions EstimatedProcess or ...
3
votes
0answers
74 views

LogLikelihood function with Multivariate State Space Models

I load the packadge TimeSeries. Depending on the running Mathematica release, one should preliminary remove some built-in function with the same name, e.g.KalmanFilter, I used the following commands: ...
3
votes
0answers
71 views

Implementation of the Vector Autoregressive Model

I need to code/write a Vector Autoregressive Model VAR(p) as a function of the parameters. There is no estimation, nor Data involved, this is a "population" exercise: Assume X and Y are univariate, ...
3
votes
0answers
91 views

Making time-index dependent state-space models - where has the Kalman filter gone?

How does one now implement a discrete set of state space models? I had used KalmanFilter in the old TimeSeries application, but was keen on trying to do all this ...
2
votes
0answers
63 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
85 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
59 views

Calculate the power spectral density of a Markov chain

I would like to calculate the symbolic power spectral density of a two state Markov process with a symbolic transition matrix characterised by two parameters. I have tried the below, but it doesn't ...
0
votes
0answers
68 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
145 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
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0answers
52 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 ...