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ark
2007 Jul 14
0
ts model challenge (transfer function)
...mated by a proprietary program using
# "Simple Refined Instrumental Variable" algorithm).
# The transfer function differs from the model used by 'arima', as
# there is a scale factor applied to the instantaneous input u[i].
# So need to scale the input by b_0 and also scale b_1:
arOK <- c(a_1, a_2)
maOK <- b_1 / b_0
scaleOK <- b_0
sim.good <- arima.sim(model=list(ar=arOK, ma=maOK), innov=u*scaleOK,
n=length(x))
lines(sim.good, col="blue")
# good fit to data
# Now I try to estimate the same model using 'arima'...
# Can I use xreg=u to estimate the...