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maik
2007 Jul 14
0
ts model challenge (transfer function)
...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 scale factor b_0 ?
cal...
2006 Jul 20
1
[RTLWS8-CFP] Eighth Real-Time Linux Workshop 2nd CFP
...bedded Systems Lab, Lanzhou
University, CHINA)
Program committee:
* Prof. Li Xing (Co-Chair), (Tsinghua University, CHINA)
* Dr. Zhang Yunquan, (Institute of Software, Chinese Academy of
Science, CHINA)
* Dr. Chen Yu, (Tsinghua University, CHINA)
* Dr. Chen Maoke, (Tsinghua University, CHINA)
* Dr. Yu Guanghui, (Dalian University of Techonolgy, CHINA)
* Prof. Dr. Paolo Mantegazza, (Dipartimento di Ingegneria
Aerospaziale, ITALY)
* Prof. Dr. Bernhard Zagar, (Johannes Kepler Universitt Linz,
AUSTRIA)
* Prof....