1. Zoltán Szabó
  2. ITE


ITE / code / IPA / demos / estimate_fAR.m

function [E] = estimate_fAR(x,L,fARmethod_parameters)
%Estimates fAR model of order L. Method: estimate the "u_t = [x_{t-1},...,x_{t-L}] -> v_t = x_t" mapping nonparametrically.
%   x: x(:,t) is the t^th observation from the fAR model.
%   L: fAR order.
%   fARmethod_parameters: parameters of the fAR estimator, see 'recursive_Nadaraya_Watson_estimator.m'.
%   E: estimated innovation, E(:,t) at time t.
%Copyright (C) 2012 Zoltan Szabo ("http://nipg.inf.elte.hu/szzoli", "szzoli (at) cs (dot) elte (dot) hu")
%This file is part of the ITE (Information Theoretical Estimators) Matlab/Octave toolbox.
%ITE is free software: you can redistribute it and/or modify it under the terms of the GNU General Public License as published by
%the Free Software Foundation, either version 3 of the License, or (at your option) any later version.
%This software is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of
%MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the GNU General Public License for more details.
%You should have received a copy of the GNU General Public License along with ITE. If not, see <http://www.gnu.org/licenses/>.

switch fARmethod_parameters.method
    case 'recursiveNW'
        U = concatenation(x(:,1:end-1),L);
        V = x(:,L+1:end);
        E = V - recursive_Nadaraya_Watson_estimator(U,V,fARmethod_parameters);
        error('fAR fit method=?');