NAR modeling
Purpose
Description
Macro Synopsis
Modules
Related Functions
References
Purpose
Estimate the coefficients of a NAR model
Description
"NAR modeling" calculates the least-squares estimates of the
coefficients of a Nonlinear Auto-Regressive (NAR) model involving
linear and bilinear terms of lagged values of the response signal,
The input signal y is regarded as NAR model response.
The output signal r is the residual, i.e. the estimation error.
Parameters are:
- the linear order K of the response process,
- the bilinear order M of the response process.
Besides the estimated coefficients, a residual constant term, the mean of the
residues, the residual variance, and the normalized residual variance are
displayed in the message window.
Macro Synopsis
r = NARmodel(y,K,M);
signal r,y;
int K,M;
Modules
Statistics
Related Functions
AR simulation, ARIMA modeling,
ARIMAX modeling, ARMA model order,
ARMA modeling, ARMA simulation,
ARMA spectral density, ARMAX modeling,
ARMAX simulation, NARMA modeling.
References
Ljung [10], Conover [11], Graybill
[12], Hollander/Wolfe [13]