May I know what $x,y,z$ in ARProcess[x,{y},z] mean?
ma = EstimatedProcess[detrend, ARProcess[1]]
(* Out: ARProcess[-1.14364*10^-13, {0.235799}, 0.00209441] *)
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2 Answers
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Did you check the manual for ARProcess?
You have a numbers (not matrices), thus you need this and this rules:
ARProcess[{a1,…,ap},v]represents a weakly stationary autoregressive process of orderpwith normal white noise variancev.
ARProcess[c,…]represents an AR process with a constantc.
Thus, in your case you have an AR process of degree 1 with constant c equal to -1.14364*10^-13 (zero means), coefficient of an AR process 0.235799 and a variance of residuals equal to 0.00209441.
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1
Manipulate[
Module[{f = RandomFunction[ARProcess[x, {y}, z], {1, 10^2}]},
ListPlot[SeedRandom[1234]; f,
Filling -> Axis,
PlotRange -> {Automatic, {-0.5, 0.5}}]],
{{x, -a}, -1, 1},
{{y, b}, -3*b, 3*b},
{{z, c}, $MinMachineNumber, 20*c},
Initialization :> (a = 1.14364*10^-13; b = 0.235799; c = 0.00209441)]
ARProcess[x, {y}, z] represents a first order autoregressive process. If you play around with the RandomFunction defined by the process in the code above, you'll see that $x$ is a constant offset, $y$ is a process parameter, and $z$ represents the variance.
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$\begingroup$ may I know the name of those? $\endgroup$ Commented Oct 12, 2015 at 14:21