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5
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1answer
245 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
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0answers
97 views

Estimation of vector autoregressive (VAR) process

To estimate 1-dimensional VAR process (which is AR process) you can easily use functions EstimatedProcess or ...
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112 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 ...
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41 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 ...