// Illustration of nonuniqueness in estimation of MA model parameters using ACF, discussed in Example 6.14 on page 184 // 6.7 exec('plotacf.sci',-1); exec('pacf.sci',-1); exec('label.sci',-1); xi = 0.1*rand(1,10000); // Simulation and estimation of first model m1 = armac(1,0,[1,-3,1.25],1,1,1); v1 = arsimul(m1,xi); M1 = armax1(0,0,2,v1,zeros(1,10000)) disp(M1) // Simulation and estimation of second model m2 = armac(1,0,[1,-0.9,0.2],1,1,1); v2 = arsimul(m2,xi); M2 = armax1(0,0,2,v2,zeros(1,10000)) disp(M2) // ACF and PACF of both models plotacf(v1,1,11,1); xset('window',1), plotacf(v2,1,11,1); xset('window',2), pacf(v1,11); xset('window',3), pacf(v2,11);