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| author | bgtushar | 2017-11-30 20:31:42 +0530 |
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| committer | bgtushar | 2017-11-30 20:31:42 +0530 |
| commit | f6ef6a0238d4a028e65a0a7f1f1d39ff7979dec2 (patch) | |
| tree | 9d5f3f6632568deb6f285acebd9990f4eb02171a /help/en_US/scilab_en_US_help/arch_fit.html | |
| parent | bde72bceca94ce47e8c65886878947cf3c2445cb (diff) | |
| parent | 99b498fb0cedd8560d18f032a4cb1fcae0c1fadb (diff) | |
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final commit
Diffstat (limited to 'help/en_US/scilab_en_US_help/arch_fit.html')
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diff --git a/help/en_US/scilab_en_US_help/arch_fit.html b/help/en_US/scilab_en_US_help/arch_fit.html new file mode 100644 index 0000000..24c4a94 --- /dev/null +++ b/help/en_US/scilab_en_US_help/arch_fit.html @@ -0,0 +1,76 @@ +<html><head> + <meta http-equiv="Content-Type" content="text/html; charset=utf-8"> + <title>arch_fit</title> + <style type="text/css" media="all"> + @import url("scilab_code.css"); + @import url("xml_code.css"); + @import url("c_code.css"); + @import url("style.css"); + </style> + </head> + <body> + <div class="manualnavbar"> + <table width="100%"><tr> + <td width="30%"> + <span class="previous"><a href="arburg.html"><< arburg</a></span> + + </td> + <td width="40%" class="center"> + <span class="top"><a href="section_cc2bc01c47967d47fcf3507a91d572ba.html">FOSSEE Signal Processing Toolbox</a></span> + + </td> + <td width="30%" class="next"> + <span class="next"><a href="arch_rnd.html">arch_rnd >></a></span> + + </td> + </tr></table> + <hr /> + </div> + + + + <span class="path"><a href="index.html">FOSSEE Signal Processing Toolbox</a> >> <a href="section_cc2bc01c47967d47fcf3507a91d572ba.html">FOSSEE Signal Processing Toolbox</a> > arch_fit</span> + + <br /><br /> + <div class="refnamediv"><h1 class="refname">arch_fit</h1> + <p class="refpurpose">This functions fits an ARCH regression model to the time series Y using the scoring algorithm in Engle's original ARCH paper.</p></div> + + +<div class="refsynopsisdiv"><h3 class="title">Calling Sequence</h3> + <div class="synopsis"><pre><span class="default">[</span><span class="default">A</span><span class="default">, </span><span class="default">B</span><span class="default">] = </span><span class="functionid">arch_fit</span><span class="default"> (</span><span class="default">Y</span><span class="default">, </span><span class="default">X</span><span class="default">, </span><span class="default">P</span><span class="default">, </span><span class="default">ITER</span><span class="default">, </span><span class="default">GAMMA</span><span class="default">, </span><span class="default">A0</span><span class="default">, </span><span class="default">B0</span><span class="default">)</span></pre></div></div> + +<div class="refsection"><h3 class="title">Parameters</h3> + <dl></dl></div> + +<div class="refsection"><h3 class="title">Description</h3> + <p class="para">Fit an ARCH regression model to the time series Y using the scoring algorithm in Engle's original ARCH paper.</p> + <p class="para">The model is</p> + <p class="para">y(t) = b(1) * x(t,1) + ... + b(k) * x(t,k) + e(t), +h(t) = a(1) + a(2) * e(t-1)^2 + ... + a(p+1) * e(t-p)^2</p> + <p class="para">in which e(t) is N(0, h(t)), given a time-series vector Y up to time t-1 and a matrix of (ordinary) regressors X up to t. The order of the regression of the residual variance is specified by P.</p> + <p class="para">If invoked as 'arch_fit (Y, K, P)' with a positive integer K, fit an ARCH(K, P) process, i.e., do the above with the t-th row of X given by</p> + <p class="para">[1, y(t-1), ..., y(t-k)]</p> + <p class="para">Optionally, one can specify the number of iterations ITER, the updating factor GAMMA, and initial values a0 and b0 for the scoring algorithm.</p></div> + <br /> + + <div class="manualnavbar"> + <table width="100%"> + <tr><td colspan="3" class="next"><a href="http://bugzilla.scilab.org/enter_bug.cgi?product=Scilab%20software&component=Documentation%20pages" class="ulink">Report an issue</a></td></tr> +<tr> + <td width="30%"> + <span class="previous"><a href="arburg.html"><< arburg</a></span> + + </td> + <td width="40%" class="center"> + <span class="top"><a href="section_cc2bc01c47967d47fcf3507a91d572ba.html">FOSSEE Signal Processing Toolbox</a></span> + + </td> + <td width="30%" class="next"> + <span class="next"><a href="arch_rnd.html">arch_rnd >></a></span> + + </td> + </tr></table> + <hr /> + </div> + </body> +</html> |