AR(1) parameters estimation with constant term

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Eduardo
Eduardo le 23 Avr 2012
I'm trying to get the AR(1) parameters of a times serie Y, but I'm a bit confused because I think if I use the matlab function ar(Y,1) the resulting model seems not to include the constant term. For example, I'd like to get the parameters for something like Y(t)=C+B*X(t-1)+Et, with C as a constant term and Et as a Gaussian noise, however the resulting model using the matlab function ar(Y,1) is something like A(q)y(t)=Et. So, how could I get the constant term C from that?.
I'd really appreciate somebody who can help me.

Réponses (1)

ignacio rios
ignacio rios le 20 Déc 2012
I've the same question =S

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