FindProcessParameters

FindProcessParameters[data, proc] finds the parameter estimates for the process proc from data.

• FindProcessParameters[data, proc, {{p, p0}, {q, q0}, ...}] finds the parameters p, q, … with starting values p0, q0, … .

Examples

Estimate parameters of an AR process from sample data:

data = RandomFunction[ARProcess[{0.5, -0.3}, 1], {1, 100}];
FindProcessParameters[data, ARProcess[{a, b}, σ]]

Please visit the official Wolfram Language Reference for more details.