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Re: AR model
From: |
Marco Atzeri |
Subject: |
Re: AR model |
Date: |
Sun, 5 Jul 2020 11:56:21 +0200 |
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Mozilla/5.0 (Windows NT 10.0; WOW64; rv:68.0) Gecko/20100101 Thunderbird/68.10.0 |
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On 04.07.2020 22:25, estefaniame@gmail.com wrote:
Thank you for your answer.
The fact is that yt=b0+b1*y^-1+b2*y^-2 is also written as (1-b1-b2)*L
being L the lag operator. This is why I wrote [1 -b1 -b2].
I want to find the roots of the corresponding polynomial for that AR
model. Should then I put: [1 b1 b2]? I find examples for polynomials
like x^2+x+1, for instance, but I need the way to express an AR model.
Could you help me? Thank you very much.
Kind regards,
Estefanía
I am not an expert in AR model,
but taking the definition at
https://en.wikipedia.org/wiki/Autoregressive_model
it seems not a simple polynomial operation.
The TSA package as some functions
https://octave.sourceforge.io/tsa/overview.html
that is referring to AR.
You may want it, of clarify better what you want to meet.
El sáb., 4 jul. 2020 22:12, Marco Atzeri <marco.atzeri@gmail.com
<mailto:marco.atzeri@gmail.com>> escribió:
On 04.07.2020 21:37, estefaniame@gmail.com
<mailto:estefaniame@gmail.com> wrote:
> Good evening
>
> I have a doubt on polynomials. If I have an AR model like
> Yt=b0+b1*Yt-1+b2*Yt-2+et and I want to write the corresponding
> polynomial, would it be [1 -b1 -b2]?
>
> Thank you very much.
>
> Kind regards,
>
> Estefanía
>
>
polynomials have positive exponents.
You seems to use negative ones b0+b1*Yt^-1+b2*Yt^-2
so they are not polynomial
https://octave.org/doc/v5.2.0/Polynomial-Manipulations.html
Marco
- AR model, estefaniame, 2020/07/04
- Re: AR model, Marco Atzeri, 2020/07/04
- Message not available
- Re: AR model,
Marco Atzeri <=
- Re: AR model, Juan Pablo Carbajal, 2020/07/05
Message not available