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How to find a system response of armax model for other data set? What e(t) in the system model?

Asked by ramayya venna on 5 Feb 2013

Discrete-time ARMAX model: A(z)y(t) = B(z)u(t) + C(z)e(t) A(z) = 1 - 2.916 z^-1 + 2.84 z^-2 - 0.9237 z^-3

B1(z) = 0.0004539 - 0.002285 z^-1                       
B2(z) = -1.451e-05 - 1.763e-05 z^-1                     
B3(z) = -0.00468 + 0.004787 z^-1                        
C(z) = 1 + 0.7955 z^-1 + 0.795 z^-2 + 0.998 z^-3

In the above function, what is e(t)? How to find y(t) for new data set (testing purpose)?


ramayya venna


2 Answers

Answer by Shashank Prasanna on 5 Feb 2013

e(t) is noise disturbance or also called innovations terms. Usually assumed to be white noise. Once you have the estimated model supply your u(t) and look at the response, its just like any regular transfer function.


Shashank Prasanna
Answer by Rajiv Singh on 2 May 2013

Finding values of y(t) for a given u(t) is simulation. Use the SIM command:

Simulation will assume zero values for innovations e(t). If you need to predict K-step head values of y(t) using past measurements of (u,y), use PREDICT

See for more information on simulation and prediction.


Rajiv Singh

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