diff options
Diffstat (limited to 'help/en_US/scilab_en_US_help/arch_fit.html')
| -rw-r--r-- | help/en_US/scilab_en_US_help/arch_fit.html | 76 |
1 files changed, 0 insertions, 76 deletions
diff --git a/help/en_US/scilab_en_US_help/arch_fit.html b/help/en_US/scilab_en_US_help/arch_fit.html deleted file mode 100644 index 78da78f..0000000 --- a/help/en_US/scilab_en_US_help/arch_fit.html +++ /dev/null @@ -1,76 +0,0 @@ -<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_e54aa8aac34aa55341e8b4b782fe1a74.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_e54aa8aac34aa55341e8b4b782fe1a74.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_e54aa8aac34aa55341e8b4b782fe1a74.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> |