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Mathematica 教學 模擬ARMA(2,2)

戴忠淵 於 2012年11月3日星期六 下午12:54 發表





(*the model y[t]=a1*y[t-1]+a2*y[t-2]+r+m1*e[t-1]+m2*e[t-2] *)

f[{y1_,y2_,e1_,e2_}]:=Block[{e},
e=RandomReal[NormalDistribution[0,sigma]];
{ar1*y1+ar2*y2+e+ma1*e1+ma2*e2,y1,e,e1}
];

(* parameters *)
{ar1,ar2,ma1,ma2,sigma}={1.6,-0.7,-1.8,0,2};

ListLinePlot[NestList[f,{0.9,0.5,0.1,0},100][[All,1]],
PlotStyle->Thickness[0.005],Frame->True]

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