In the ARProcess help file I don't understand whether an intercept is included or not. How would I add one? I am using version 9 of Mathematica.
$\begingroup$
$\endgroup$
0
asked May 19, 2016 at 20:39
Add a comment
|
1 Answer
$\begingroup$
$\endgroup$
2
I'm not very familiar with AR processes, but I suspect that you might be looking for the following syntax:
ARProcess[c, {a1, ... , ap}, v]
which, according to the documentation, represents an AR process with a "constant" $c$, which I think is the same as the intercept you are looking for.
For instance, compare the following:
(* Intercept value = 2 *)
DateListPlot@RandomFunction[ARProcess[2, {0.1, -0.1}, 1*^-6], {1, 10^2}]
(* Intercept value = 0 *)
DateListPlot@RandomFunction[ARProcess[0, {0.1, -0.1}, 1*^-6], {1, 10^2}]
-
$\begingroup$ Marco, but in Version 9 that option is not available... $\endgroup$ Commented May 19, 2016 at 22:14
-
1$\begingroup$ I'm afraid specifying a nonzero mean
clike this was not possible in Mathematica 9, but was added in Mathematica 10. $\endgroup$– Stefan RCommented May 20, 2016 at 22:00