Estimate the coefficients of an ARIMAX model
"ARIMAX modeling" treats the given signals x, y, z as
Auto-Regressive Integrated Moving Average with eXtra / eXternal
(ARIMAX) process according to
with the input data x passed through a difference filter D times. This difference filter is given by
where N denotes the length of x.
In the above formula, x denotes the input signal (usually a noise
signal), y is the output signal and z is the extra / external input signal.
The model coefficients of the given orders are estimated and the residual r, i.e. the estimation error signal is returned.
Input parameters are
- order P of the AR process,
- order Q of the MA process,
- order R of the eXtra / eXternal process and
- integral order D.
The AR, MA and X coefficients , and of the estimated model will appear in the message window.
r = ARIMAXmodel([x,y,z],P,Q,R,D);
AR simulation, ARIMA modeling,
ARMA model order,
ARMA modeling, ARMA simulation,
ARMA spectral density, ARMAX modeling,
ARMAX simulation, NAR modeling,
Ljung , Conover , Graybill
, Hollander/Wolfe