Set VARMAX model specification parameters

`Spec = vgxset(`

* 'Name1'*,Value1,

`'Name2'`

Spec = vgxset(OldSpec,

`'Name1'`

`'Name2'`

Spec = vgxset

`vgxset`

sets or modifies parameter values
in a multivariate time series specification structure.

`Spec = vgxset(`

creates
a multivariate time series specification structure * 'Name1'*,Value1,

`'Name2'`

`Spec`

with
parameters of specified name set to specified values. See Name-Value Pair Arguments.`Spec = vgxset(OldSpec,`

modifies
the multivariate time series specification structure * 'Name1'*,Value1,

`'Name2'`

`OldSpec`

,
changing the parameters of specified name to the specified values.
See Name-Value Pair Arguments.`Spec = vgxset`

creates a specification structure
template for the default model (a univariate Gaussian noise process
with no offset).

`'Name'` | A character vector naming a valid parameter of the output
specification structure |

`Value` | The value assigned to the corresponding parameter. |

`OldSpec` | A specification structure to be modified, as created
by |

`Spec` | A specification encapsulating the style, orders, and parameters of the conditional mean of a multivariate time series model. |

Specify the following optional input arguments as variable-length
lists of matching parameter name/value pairs: * 'Name1'*,

`Value1`

, `'Name2'`

`Value2`

,
... and so on. The following rules apply when specifying parameter-value
pairs:Specify the parameter name as a character vector, followed by its corresponding parameter value.

You can specify parameter name/value pairs in any order.

Parameter names are case insensitive.

You can specify unambiguous partial matches.

**Model Information**

Name | Value |
---|---|

`'Model'` | A character vector describing the model. The default is auto-generated, and depends on model parameters. |

`'Info'` | A character vector with additional model information. The default is empty. |

`'Series'` | A cell array of character vectors providing names for each time series. The default is empty. |

**Model Orders**

Name | Value |
---|---|

`n` | A positive integer specifying the number of time series.
The default is |

`nAR` | A nonnegative integer specifying the number of AR lags.
The default is |

`nMA` | A nonnegative integer specifying the number of MA lags.
The default is |

`nX` | A nonnegative integer specifying the number regression
parameters. The default is |

**Model Parameters**

Name | Value |
---|---|

`a` | An |

`AR0` | An |

`AR` | An |

`MA0` | An |

`MA` | An |

`b` | An |

`Q` | An |

**Model Lags**

Name | Value |
---|---|

`ARlag` | A monotonically increasing |

`MAlag` | A monotonically increasing |

**Model Parameter Estimation**

Name | Value |
---|---|

`asolve` | An |

`ARsolve` | An |

`AR0solve` | An |

`MAsolve` | An |

`MA0solve` | An |

`bsolve` | An |

`Qsolve` | An |

Currently, `vgxvarx`

cannot fit the following
matrices:

`AR0`

`MA0`

`MA`

Therefore, `vgxvarx`

ignores `AR0solve`

, `MA0solve`

,
and `MAsolve`

. However, you are invited to examine
the `Example_StructuralParams.m`

file for one approach
to fitting the `AR0`

and `MA0`

matrices.
Enter `help Example_StructuralParams`

at the MATLAB^{®} command
line for information.

Furthermore, `vgxvarx`

also ignores `Qsolve`

. `vgxvarx`

can
fit either a diagonal or a full `Q`

matrix; see Optional Input Arguments.

**Model Offset**

Name | Value |
---|---|

`Constant` | Additive offset logical indicator. The default is |

Was this topic helpful?