?? amarma.m
字號:
function [z,e,REV,ESU,V,Z,SPUR] = amarma(y, Mode, MOP, UC, z0, Z0, V0, W);
% Adaptive Mean-AutoRegressive-Moving-Average model estimation
% [z,E,ESU,REV,V,Z,SPUR] = amarma(y, mode, MOP, UC, z0, Z0, V0, W);
% Estimates AAR parameters with Kalman filter algorithm
% y(t) = sum_i(a(i,t)*y(t-i)) + mu(t) + E(t)
%
% State space model
% z(t)=G*z(t-1) + w(t) w(t)=N(0,W)
% y(t)=H*z(t) + v(t) v(t)=N(0,V)
%
% G = I,
% z = [
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