Simulate regARIMA with AR, SMA and Betas ...Problem with presamples!!
Afficher commentaires plus anciens
Hello,
I have a model, built with regARIMA, with the following:
Intercept =0; AR(1); AR(2); AR(3); SMA(12); Beta1; Beta2; Beta3
I need to simulate 10.000 paths. When I run:
YYY = simulate(EstMdl,100,'NumPaths',10000,'E0',e0,'U0',u0,'X',XF1,'Y0',Y1);
The problem is that I cannot pass 'Y0' since "simulate" regARIMA accept only 'E0' and 'U0'. My question is... is it correct? How does it calculate the value of AR(1); AR(2); AR(3) whithout having past values of Y ??
Réponses (0)
Catégories
En savoir plus sur Autocorrelated and Heteroscedastic Disturbances dans Centre d'aide et File Exchange
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!