MA(1) process without using built-in functions

13 vues (au cours des 30 derniers jours)
Leonardo Aldeghi
Leonardo Aldeghi le 21 Oct 2019
Hi everybody, i'm trying to write a MA(1) process without using built-in functions (homework) and with these input parameters
  • theta (MA parameter)
  • sigma (standard deviation of innovations)
  • epsilon0 (starting value)
  • T (total length of the time series to simulate)
function y = simulateMA1(theta, sigma, epsilon0, T)
y(1)=epsilon0;
for k=2:T
epsilon(k)=(sigma^2)*randn;
y(k)=epsilon(k)+theta*epsilon(k-1);
end
y=y' % shifting to column vector
end
I'm using the grader and no error message comes out, but there is something wrong that i'm missing with the model. Can anybody share his tought about this?
Thankss

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