AR(p) parameters estimation
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Mario
on 20 Feb 2014
Edited: Shashank Prasanna
on 28 Feb 2014
I have to fit the AR(p) model as:
X_t = c + sum_{i=1}^p phi_i X_{t-i} + epsilon_t
where p:order, phi:parameters to be estimated, c:constant, epsilon:white noise.
How can i estimate parameters' model?
I tried with ar function but i had only parameters phi. How can i estimate the constant term, c?
Any idea?
NB: I'm using ar function with Matlab2010
Thanks
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Accepted Answer
Shashank Prasanna
on 20 Feb 2014
If you have access to the Econometric Toolbox, you can estimate the model as shown in the first example:
mdl = arima(2,0,0); % 2 the lag order
EstMdl = estimate(mdl,y); % y is your data
2 Comments
Shashank Prasanna
on 28 Feb 2014
Edited: Shashank Prasanna
on 28 Feb 2014
I've answered a question similar to this before:
In short, set up your lagged matrix and solve linear system X\y
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