Estimate the coefficients of a NAR model
"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.
- 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.
r = NARmodel(y,K,M);
AR simulation, ARIMA modeling,
ARIMAX modeling, ARMA model order,
ARMA modeling, ARMA simulation,
ARMA spectral density, ARMAX modeling,
ARMAX simulation, NARMA modeling.
Ljung , Conover , Graybill
, Hollander/Wolfe