ARMA simulation and estimation

3 次查看（过去 30 天）
lily
lily 2015-4-11
回答： Hang Qian 2015-4-14
Hi, I am trying to simulate and estimate the following ARMA(2,1) using the econometrics toolbox:
MdlSim = arima('Constant',0 ,'AR',{1.1, -0.28},'MA',0.4, 'Variance',1);
rng 'default';
Y = simulate(MdlSim,10000, 'NumPaths', 1000);
Mdl = arima(2,0,1);
[EstMdl,EstParamCov] = estimate(Mdl,Y,'print',false);
print(EstMdl,EstParamCov)
But it gives back the error message "Error using arima/estimate (line 224) Input response series data must be non-empty and a column vector."
If I try for only path ('NumPaths', 1), it works fine. I don't understand what I need to change in order to simulate 1000 paths. Does anyone know how to specify this properly?

请先登录，再回答此问题。

回答（1 个）

Hang Qian
Hang Qian 2015-4-14
The ESTIAMTE method of ARIMA does not accept multiple paths of data. Instead, we may estimate the model path by path using a FOR loop.
For example,
for m=1:100; estimate(Mdl,Y(:,m),'print',false); end
Thank you,
Hang Qian

类别

在 Help Center 和 File Exchange 中查找有关 Conditional Mean Models 的更多信息

标签

产品

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by