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<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN" "http://www.w3.org/TR/REC-html40/loose.dtd"><html><head> <title>Description of amarma</title> <meta name="keywords" content="amarma"> <meta name="description" content="Adaptive Mean-AutoRegressive-Moving-Average model estimation"> <meta http-equiv="Content-Type" content="text/html; charset=iso-8859-1"> <meta name="generator" content="m2html © 2003 Guillaume Flandin"> <meta name="robots" content="index, follow"> <link type="text/css" rel="stylesheet" href="../m2html.css"></head><body><a name="_top"></a><div><a href="../index.html">Home</a> > <a href="index.html">tsa</a> > amarma.m</div><!--<table width="100%"><tr><td align="left"><a href="../index.html"><img alt="<" border="0" src="../left.png"> Master index</a></td><td align="right"><a href="index.html">Index for tsa <img alt=">" border="0" src="../right.png"></a></td></tr></table>--><h1>amarma</h1><h2><a name="_name"></a>PURPOSE <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2><div class="box"><strong>Adaptive Mean-AutoRegressive-Moving-Average model estimation</strong></div><h2><a name="_synopsis"></a>SYNOPSIS <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2><div class="box"><strong>function [z,e,REV,ESU,V,Z,SPUR] = amarma(y, Mode, MOP, UC, z0, Z0, V0, W); </strong></div><h2><a name="_description"></a>DESCRIPTION <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2><div class="fragment"><pre class="comment"> Adaptive Mean-AutoRegressive-Moving-Average model estimation
[z,E,ESU,REV,V,Z,SPUR] = amarma(y, mode, MOP, UC, z0, Z0, V0, W);
Estimates AAR parameters with Kalman filter algorithm
y(t) = sum_i(a(i,t)*y(t-i)) + mu(t) + E(t)
State space model
z(t)=G*z(t-1) + w(t) w(t)=N(0,W)
y(t)=H*z(t) + v(t) v(t)=N(0,V)
G = I,
z = [⌨️ 快捷键说明
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