simulate unstable ar model
1 vue (au cours des 30 derniers jours)
Afficher commentaires plus anciens
Hello everyone!
For class I have to do a monte carlo simulation of an unstable AR process.
Unfortunately, when I program the model, it cannot estimate it since it is unstable:
alpha_1=0.7;
alpha_2 = 0.3;
alpha = [alpha_1 alpha_2]; %AR parameter
cons = (1 - alpha_1 - alpha_2)*2; %constant of the AR process
model = arima('constant',cons,'AR',alpha, 'variance', 1);
I get the following error message after the last row:
"Nonseasonal autoregressive polynomial is unstable."
Anyone knows how to handle this?
Thanks in advance.
0 commentaires
Réponses (0)
Voir également
Catégories
En savoir plus sur Conditional Mean Models dans Help Center et File Exchange
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!