Estimating an AR Model with Exogenous Driver

Yves Grenier (1)

1 LTCI - Laboratoire Traitement et Communication de l'Information

In this paper, we introduce an autoregressive model which has an evolution that is driven by an exogenous pilot signal. This model shares some properties with TAR (Threshold Auto Regressive) models and STAR (Smooth Transition Auto Regressive) models. This text defines the model, it presents an estimator for this model, and an estimator for the variance of the innovation, which is not constant in this model. An exact computation of the likelihood of this driven autoregressive model is then presented. Two appendices present a state-space realization of this model and the expression of a Kalman filter for such a model.

Domains: Computer Science [cs]; Signal and Image Processing; Engineering Sciences [physics]; Signal and Image processing

Yves Grenier. Estimating an AR Model with Exogenous Driver. 2013. ⟨hal-00875064⟩