How to estimate the parameter for auto-regressive var by fixing the parameters for exogenous var

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Kushan 2014-2-13

评论： Kushan 2014-2-17

Hi All,

I've got two time series, "A" and "B" and please let me know how to apply an ARX model in below two steps?

Step 1 - Find correlation coefficients between "A" and "B" for lag 5, only using "B" as follows;

   DataARX = iddata(A(:,1),B(:,1));%,1,'TimeUnit','days');  
   ARXModel = arx(DataARX,[0 5 0]);

Step 2 - How to calculate the serial correlation coefficients for "A" by fixing the correlation coefficients found during step 1?

P.S. - Final ARX model would be a combination of step 1 and step 2 coefficients.

Experts please help me out,

Thanking you in advance,

Kushan

Kushan 2014-2-17

Experts please !!!!!!1

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