From b1f5c3f8d6671b4331cef1dcebdf63b7a43a3a2b Mon Sep 17 00:00:00 2001
From: priyanka
Date: Wed, 24 Jun 2015 15:03:17 +0530
Subject: initial commit / add all books

---
 2048/CH6/EX6.13/arma_ex.sce | 39 +++++++++++++++++++++++++++++++++++++++
 1 file changed, 39 insertions(+)
 create mode 100755 2048/CH6/EX6.13/arma_ex.sce

(limited to '2048/CH6/EX6.13/arma_ex.sce')

diff --git a/2048/CH6/EX6.13/arma_ex.sce b/2048/CH6/EX6.13/arma_ex.sce
new file mode 100755
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--- /dev/null
+++ b/2048/CH6/EX6.13/arma_ex.sce
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+// Implementation of trial and error procedure to determine ARMA(1,1) process, presented in Example 6.20 on page 191.
+// 6.13
+
+exec('plotacf.sci',-1);
+exec('pacf.sci',-1);
+exec('label.sci',-1);
+
+// Set up the model for simulation
+arma_mod = armac([1 -0.8],0,[1 -0.3],1,1,1);
+
+// Generate the inputs for simulation
+// Deterministic Input can be anything
+u = zeros(1,2048); 
+e = rand(1,2048,'normal');
+
+// Simulate the model
+v = arsimul(arma_mod,[u e]);
+
+// Plot ACF and PACF for 10 lags
+plotacf(v,1e-03,11,1); 
+xset('window',1), pacf(v,10);
+
+// Estimate AR(1) model and present it
+// compute the residuals
+[mod_est1,err_mod1] = armax1(1,0,0,v,zeros(1,length(v)));
+disp(mod_est1);
+
+// Plot ACF and PACF for 10 lags
+xset('window',2), plotacf(err_mod1,1e-03,11,1); 
+xset('window',3), pacf(err_mod1,10);
+
+// Check ACF and PACF of residuals 
+[mod_est2,err_mod2] = armax1(1,0,1,v,zeros(1,length(v)));
+disp(mod_est2);
+
+// Plot ACF and PACF for 10 lags
+xset('window',4), plotacf(err_mod2,1e-03,11,1); 
+xset('window',5), pacf(err_mod2,10);
+
-- 
cgit