When you use the pem or polyest to estimate ARMAX, Box-Jenkins
(BJ), Output-Error (OE), you must specify how the algorithm treats
initial conditions.
This information supports the estimation procedures Estimate Polynomial Models in the App and Using polyest to Estimate Polynomial Models.
In the System Identification app, for ARMAX, OE, and BJ models, set Initial state to one of the following options:
Auto — Automatically
chooses Zero, Estimate,
or Backcast based on the estimation data.
If initial states have negligible effect on the prediction errors,
the initial states are set to zero to optimize algorithm performance.
Zero — Sets all
initial states to zero.
Estimate — Treats
the initial states as an unknown vector of parameters and estimates
these states from the data.
Backcast — Estimates
initial states using a smoothing filter.
At the command line, specify the initial
conditions as an estimation option. Use polyestOptions to
configure options for the polyest command, armaxOptions for
the armax command etc. Set the InitialCondition option
to the desired value in the option set. For example, use this command
to estimate an ARMAX model and set the initial states to zero:
opt = armaxOptions('InitialCondition','zero'); m = armax(data,[2 2 2 3],opt);
For a complete list of values for the InitialCondition estimation
option, see the armaxOptions reference
page.
armaxOptions | arxOptions | bjOptions | iv4Options | oeOptions | polyestOptions