Impulse response function
impulse(Mdl)
impulse(Mdl,numObs)
Y = impulse(___)
impulse(
plots
a discrete stem plot of the impulse response function for
the univariate ARIMA model, Mdl
)Mdl
, in the current
figure window.
impulse(
plots
the impulse response function for Mdl
,numObs
)numObs
periods.
Y = impulse(___)
returns the
impulse response in a column vector for any of the previous input
arguments.
| |
|
Positive integer indicating the number of observations to include
in the impulse response (the number of periods for which When you specify If you do not specify |
|
Column vector of impulse responses. If you specify |
To improve performance of the filtering algorithm,
specify the number of observations to include in the impulse response, numObs
.
When you do not specify numObs
, impulse
computes
the impulse response by converting the input model to a truncated,
infinite-degree, moving average representation using the relatively
slow lag operator polynomial division algorithm. This results in an
impulse response of generally unknown length.
[1] Box, G. E. P., G. M. Jenkins, and G. C. Reinsel. Time Series Analysis: Forecasting and Control 3rd ed. Englewood Cliffs, NJ: Prentice Hall, 1994.
[2] Enders, W. Applied Econometric Time Series. Hoboken, NJ: John Wiley & Sons, 1995.
[3] Hamilton, J. D. Time Series Analysis. Princeton, NJ: Princeton University Press, 1994.
[4] Lütkepohl, H. New Introduction to Multiple Time Series Analysis. New York, NY: Springer-Verlag, 2007.