Option set for
armaxOptions object to specify options for estimating
parameters of ARMAX, ARIMAX, ARMA or ARIMA models through the
armax function. You can specify options such as the handling of initial
states or the ability to generate parameter covariance data.
InitialCondition — Handling of initial conditions
'auto' (default) |
Handling of initial conditions during estimation, specified as one of the following values:
'zero'— The initial conditions are set to zero.
'estimate'— The initial conditions are treated as independent estimation parameters.
'backcast'— The initial conditions are estimated using the best least squares fit.
'auto'— The software chooses the method to handle initial conditions based on the estimation data.
Advanced — Additional advanced options
Additional advanced options, specified as a structure with the following fields:
ErrorThreshold— Specifies when to adjust the weight of large errors from quadratic to linear.
Errors larger than
ErrorThresholdtimes the estimated standard deviation have a linear weight in the loss function. The standard deviation is estimated robustly as the median of the absolute deviations from the median of the prediction errors and divided by
0.7. For more information on robust norm choices, see section 15.2 of .
ErrorThreshold = 0disables robustification and leads to a purely quadratic loss function. When estimating with frequency-domain data, the software sets
ErrorThresholdto zero. For time-domain data that contains outliers, try setting
MaxSize— Specifies the maximum number of elements in a segment when input-output data is split into segments.
MaxSizemust be a positive integer.
StabilityThreshold— Specifies thresholds for stability tests.
StabilityThresholdis a structure with the following fields:
s— Specifies the location of the right-most pole to test the stability of continuous-time models. A model is considered stable when its right-most pole is to the left of
z— Specifies the maximum distance of all poles from the origin to test stability of discrete-time models. A model is considered stable if all poles are within the distance
zfrom the origin.
AutoInitThreshold— Specifies when to automatically estimate the initial condition.
The initial condition is estimated when
ymeas is the measured output.
yp,z is the predicted output of a model estimated using zero initial conditions.
yp,e is the predicted output of a model estimated using estimated initial conditions.
Create Default Options Set for ARMAX Estimation
opt = armaxOptions;
Specify Options for ARMAX Estimation
Create an option set for
armax to use the 'simulation' Focus and to set the Display to 'on'.
opt = armaxOptions('Focus','simulation','Display','on');
Alternatively, use dot notation to set the values of
opt = armaxOptions; opt.Focus = 'simulation'; opt.Display = 'on';
 Wills, Adrian, B. Ninness, and S. Gibson. “On Gradient-Based Search for Multivariable System Estimates”. Proceedings of the 16th IFAC World Congress, Prague, Czech Republic, July 3–8, 2005. Oxford, UK: Elsevier Ltd., 2005.
 Ljung, L. System Identification: Theory for the User. Upper Saddle River, NJ: Prentice-Hall PTR, 1999.
Version HistoryIntroduced in R2012a
R2018a: Renaming of Estimation and Analysis Options
The names of some estimation and analysis options were changed in R2018a. Prior names still work.