EstimatedProcess

EstimatedProcess[data,proc] estimates the parametric process proc from data.

EstimatedProcess[data,proc,{{p,p0},{q,q0},…}] estimates the parameters p, q, … with starting values p0, q0, ….

EstimatedProcess[data,proc,iproc] estimates process proc with starting values taken from the instantiated process iproc.

Examples

Estimate an AR process from data:

data = RandomFunction[ARProcess[{0.5}, 1], {0, 100}];
EstimatedProcess[data, ARProcess[{a}, v]]
(* ARProcess[{0.498...}, 1.02...] *)

Please visit the official Wolfram Language Reference for more details.