Additive model and simulation of the time series
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Hello,
It will be great if somebody could help me with following task.. Im trying to solve it about 3 days and read a lot of papers according this issue, but it doesnt work
My task is to simulate a time series with Monte Carlo method.. and Im trying to solve in this way
The time series calls A So, at first i want to fit there to additive component model and estimate the parameters in Matlab
"X=m+s+y(t) " where " m=a1+b1*t " and " sum(m-x)ˆ2=min " (least square approach)
in this case m is a trend model with parameters a1 and b1
"s " is s a saisonal model with parameters c1 and c2
and y(t) is stochastic part, which determinate as AR(1) modeland so on .
how can I estimate this parameters (a1, b1, c1, ) Im trying to solve it with funtion nlintool(x, y, @myfun, b0) but is it a right way ?may be there is a better tool to estimate the parameters, or common used toolbox in Matlab according to additive model and time series analyse ?
and then i need to simulate this time series with estimated model parameters in Monte Carlo simulation. .can I use direct simulation without parameter estimation in any toolboxes? is it neccessary to fit the model first? and which tool one can use according this issue thank your very much
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