1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
|
// 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);
|
