amarma.m

时间序列分析的matlab程序

function [z,e,REV,ESU,V,Z,SPUR] = amarma(y, Mode, MOP, UC, z0, Z0, V0, W); 
% 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 = [