Adaptive Mean-AutoRegressive-Moving-Average model estimation
[z,e,ESU,REV,V,Z,SPUR] = amarma(y, mode, MOP, UC, z0, Z0, V0, W);
Estimates model parameters (mean and AR) with Kalman filter algorithm
y(t) = sum_i(a(i,t)*y(t-i)) + mu(t) + e(t)
or the more general adaptive mean-autoregressive-moving-avarage parameters
y(t) = sum_i(a(i,t)*y(t-i)) + mu(t) + e(t) + sum_i(b(i,t)*e(t-i))
State space model:
z(t)=G*z(t-1) + w(t) w(t)=N(0,W)
y(t)=H*z(t) + v(t) v(t)=N(0,V)
G = I, (identity matrix)
z = [mu(t)/(1-sum_i(a(i,t))),a_1(t-1),..,a_p(t-p),b_1(t-1),...,b_q(t-q)];
H = [1,y(t-1),..,y(t-p),e(t-1),...,e(t-q)];
W = E{(z(t)-G*z(t-1))*(z(t)-G*z(t-1))'}
V = E{(y(t)-H*z(t-1))*(y(t)-H*z(t-1))'}
v = e
Input:
y Signal (AR-Process)
Mode
[0,0] uses V0 and W
MOP Model order [m,p,q], default [0,10,0]
m=1 includes the mean term, m=0 does not.
p and q must be positive integers
it is recommended to set q=0 (i.e. no moving average part)
because the optimization problem for ARMA models is
non-linear and can have local optima.
UC Update Coefficient, default 0
z0 Initial state vector
Z0 Initial Covariance matrix
Output:
z mean-autoregressive-moving-average-parameter
mu(t) = z(t,1:m) adaptive mean
a(t,:) = z(t,m+[1:p]) adaptive autoregressive parameters
b(t,:) = z(t,m+p+[1:q]) adaptive moving average parameters
e error process (Adaptively filtered process)
REV relative error variance MSE/MSY
see also: AAR
REFERENCE(S):
[1] A. Schlögl (2000), The electroencephalogram and the adaptive autoregressive model: theory and applications.
ISBN 3-8265-7640-3 Shaker Verlag, Aachen, Germany.
[2] Schlögl A, Lee FY, Bischof H, Pfurtscheller G
Characterization of Four-Class Motor Imagery EEG Data for the BCI-Competition 2005.
Journal of neural engineering 2 (2005) 4, S. L14-L22
[3] A. Schlögl , J. Fortin, W. Habenbacher, M. Akay.
Adaptive mean and trend removal of heart rate variability using Kalman filtering
Proceedings of the 23rd Annual International Conference of the IEEE Engineering in Medicine and Biology Society,
25-28 Oct. 2001, Paper #1383, ISBN 0-7803-7213-1.
More references can be found at
http://pub.ist.ac.at/~schloegl/publications/
Package: tsa