MATLAB: Want to fit a series as sum of 3 independent series.

series sum

I have 4 series y(n), p(n), q(n) and r(n). I would like to express as y(n) = a* p(n) + b* q(n) + c* r(n). How can I find a, b, c ? Thanks.

Best Answer

Isn't that what they call Multivariate Curve Resolution? http://www.cid.csic.es/homes/rtaqam/Roma%20Tauler_archivos/themostcitedpapers2_archivos/newals_chemolab2005.pdf,

http://www.mathworks.com/matlabcentral/fileexchange/6072-gui-for-multivariate-image-analysis-of-multispectral-images

https://en.wikipedia.org/wiki/Chemometrics#Multivariate_curve_resolution

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Hi Dmitry,

If we have obtained the residuals, then we can create a GARCH model and just estimate the variance equation, like

model = garch(1,1);

estimate(model, y);

Also, we can directly estimate an ARIMA model with GARCH errors, so that both the mean equation and the variable equation are estimated simultaneously. For example,

Mdl = arima(1,0,1);

Mdl.Variance = garch(1,1);

estimate(Mdl,y);

Regards,

Hang Qian

Best Answer

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