0
$\begingroup$

I would like to fit the parameters of an exponented AR(1) process using Mathematica's EstimatedProcess, however, the function does not seem to evaluate to anything.

First of all I create the exponented process, and generate a series:

S = TransformedProcess[Exp[P[t]], P \[Distributed] ARProcess[0, {0.5}, 1], t];
test = RandomFunction[S, {0, 100}]

Then I try to fit the same type of transformed process to the data:

EstimatedProcess[test, TransformedProcess[Exp[P[t]], P \[Distributed] ARProcess[c, {rho}, \[Sigma]], t]]

However, the function seems to return unevaluated. Does anyone know where I am going wrong? I have also tried FindProcessParameters, but to no avail.

Best,

Ben

$\endgroup$
2
$\begingroup$

It might be that you require a parametric process, the transformed process might not fit the bill.

As a workaround how about doing this?Take the data back to a parametric process.

S = TransformedProcess[Exp[P[t]], 
   P \[Distributed] ARProcess[0, {0.5}, 1], t];
test = RandomFunction[S, {0, 1000}];

EstimatedProcess[TimeSeriesMap[Log, test], 
 ARProcess[c, {rho}, \[Sigma]]]
(*ARProcess[-0.000577181, {0.504678}, 1.02154]*)
$\endgroup$
  • $\begingroup$ Thanks for that - good idea! So it appears that EstimatedProcess only works for out of the box processes, not custom ones. Best, Ben $\endgroup$ – ben18785 Feb 16 '15 at 17:55

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.