MATLAB: AR(p) parameters estimation

Question

I have to fit the AR(p) model as:

 X_t = c + sum_{i=1}^p phi_i X_{t-i} + epsilon_t
 where p:order, phi:parameters to be estimated, c:constant, epsilon:white noise.

How can i estimate parameters' model?

I tried with ar function but i had only parameters phi. How can i estimate the constant term, c?

Any idea?

NB: I'm using ar function with Matlab2010

Thanks

Answer 1

If you have access to the Econometric Toolbox, you can estimate the model as shown in the first example:

http://www.mathworks.com/help/econ/arima.estimate.html

mdl = arima(2,0,0); % 2 the lag order
EstMdl = estimate(mdl,y); % y is your data