Scilab Function

armax1 - armax identification

Calling Sequence

[arc,resid]=armax1(r,s,q,y,u [,b0f])

Parameters

Description

armax1 is used to identify the coefficients of a 1-dimensional ARX process:

   A(z^-1)y= B(z^-1)u + D(z^-1)sig*e(t)
   e(t) is a 1-dimensional white noise with variance 1.
   A(z)= 1+a1*z+...+a_r*z^r; ( r=0 => A(z)=1)
   B(z)= b0+b1*z+...+b_s z^s ( s=-1 => B(z)=0)
   D(z)= 1+d1*z+...+d_q*z^q  ( q=0 => D(z)=1)
   

for the method, see Eykhoff in trends and progress in system identification) page 96. with z(t)=[y(t-1),..,y(t-r),u(t),..., u(t-s),e(t-1),...,e(t-q)] and coef= [-a1,..,-ar,b0,...,b_s,d1,...,d_q]' y(t)= coef'* z(t) + sig*e(t).

a sequential version of the AR estimation where e(t-i) is replaced by an estimated value is used (RLLS). With q=0 this method is exactly a sequential version of armax

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