panlin,你好!我看了你在论坛的其它帖子,注意到你是一个MATLAB高手。
下面程序里面,我选p、q分别为【1 2】、【2 2】、【2 3】,得出【2 2】时AIC最小,但是损失函数和FPE是在【2 3】时最小。
那么我应该怎么选取p、q呢?现在比较糊涂的是:AIC、LOSS FUCTION、FPE各自的意义是什么?
u = iddata(x);
m = armax(u,[1 2])
Discrete-time IDPOLY model: A(q)y(t) = C(q)e(t)
A(q) = 1 + 0.2854 q^-1
C(q) = 1 + 0.2937 q^-1 - 0.0677 q^-2
Estimated using ARMAX from data set u
Loss function 0.000858338 and FPE 0.000894606
Sampling interval: 1
>> aic(m)
-7.0191
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
u = iddata(x);
m = armax(u,[2 2])
Discrete-time IDPOLY model: A(q)y(t) = C(q)e(t)
A(q) = 1 + 0.6283 q^-1 + 0.9642 q^-2
C(q) = 1 + 0.6407 q^-1 + 0.9172 q^-2
Estimated using ARMAX from data set u
Loss function 0.000857283 and FPE 0.000906271
Sampling interval: 1
>> aic(m)
-7.0062
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
u = iddata(x);
m = armax(u,[2 3])
Discrete-time IDPOLY model: A(q)y(t) = C(q)e(t)
A(q) = 1 - 0.011 q^-1 + 0.8905 q^-2
C(q) = 1 + 0.04053 q^-1 + 0.9575 q^-2 + 0.1714 q^-3
Estimated using ARMAX from data set u
Loss function 0.000821395 and FPE 0.000880916
Sampling interval: 1
>> aic(m)
-7.0346