MusiqueNow :newpride: · @MusiqueNow
685 followers · 15853 posts · Server todon.eu
claude · @mathr
288 followers · 2739 posts · Server post.lurk.org

is a pure feedback model, similar to poles in the pole-zero representation of z-transform filters. To add zeros to the model is quite simple:

$$ y_t = \sum_{i=1}^p A_i y_{t - i} + \sum_{i=0}^q B_i x_{t-i}$$

and then add the $x$ vectors and $B$ matrices to the least squares stuff. I think the jargon for this is , for Vector Auto-Regressive Moving Average.

I worked it through and coded up most of it before realizing a : I need the $x$ input data corresponding to the $y$ output data to do the regression to estimate the $A$ and $B$ parameter matrices, while so far I've just been using WAV files as $y$ series, which means I don't have any $x$.

#VectorAutoRegression #VARMA #fatalflaw

Last updated 5 years ago