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Let's estimate the parameters for the following model. sample = RandomFunction[ ARProcess[{{{.2, -.4}, {-.2, 0}}}, {{.1, -0.05}, {-0.05, .15}}], {1, 1000}] Next, use the function EstimatedProcess to perform the estimation: α = {{α1, α2}, {α3, α4}}; Σ = {{σ11, σ12}, {σ21, σ22}}; EstimatedProcess[sample, ARProcess[{α}, Σ]] Note that when ...



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