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Specifying Initial States for Iterative Estimation Algorithms

When you use thepemorpolyestfunctions to estimate ARMAX, Box-Jenkins (BJ), Output-Error (OE), you must specify how the algorithm treats initial conditions.

This information supports the estimation proceduresEstimate Polynomial Models in the AppandUsing polyest to Estimate Polynomial Models.

In the System Identification app, for ARMAX, OE, and BJ models, setInitial stateto one of the following options:

  • Auto— Automatically choosesZero,Estimate, orBackcastbased 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. UsepolyestOptionsto configure options for thepolyestcommand,armaxOptionsfor thearmaxcommand etc. Set theInitialConditionoption 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 theInitialConditionestimation option, see thearmaxOptionsreference page.

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