User`s guide

Estimating AR and A RMA Models
4 (AR m odels only) Se lect the es timation Method as ARX or IV
(instrumental variable method). For more information a bout these
methods, see “Algorithms for Estimating Polynomial Models” on page 3-66.
Note IV is not available for multiple-output data.
5 In the Name field,editthenameofthemodelorkeepthedefault. The
name of the model should be unique in the Model Board.
6 In the Initial state list, specify how you want the algorithm to treat initial
states. For m ore inform ation about the available options, see “Options for
Initial States” on page 3-66.
Tip If you get an inaccurate fit, try setting a specific method for handling
initial s tates rather than choosing it automatically.
7 In the Covariance list, select Estimate if you want the algorithm to
compute parameter uncertainties. Effects of such uncertainties are
displayed on plots as model con fidence regions.
To omit estimating uncertainty, select
None. Skipping uncertainty
computation might reduce computation tim e for complex models and large
data sets.
8 (ARMA only) To view the e stimation progress at the command line, select
the Trace check box. During estimation, the fo llowing informa t ion is
displayed for each iteration:
• Loss function — Equals the determinant of the estimated covariance
matrix of the input noise.
• Parameter values — Values of the model structure coefficients you
specified.
• Search direction — Changes in parameter values from the previous
iteration.
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